Financial Stress Indices and Financial Crises
| Autor: | † prof. Mgr. Kateřina Šmídková M.A., Ph.D., B. Vašíček, J. de Haan, R. Vermeulen, M. Hoeberichts Mgr. Diana Žigraiová , B. Vašíček, J. de Haan, R. Vermeulen, M. Hoeberichts |
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| Typ: | Články v impaktovaných časopisech |
| Rok: | 2015 |
| Číslo: | 0 |
| ISSN / ISBN: | |
| Publikováno v: | Open Economies Review, vol. 26(3), pp.383-406 |
| Místo vydání: | |
| Klíčová slova: | financial stress index, financial crises, developed countries, early warning indicators |
| JEL kódy: | E5, G10 |
| Citace: | Also published as DNB WP 469 (2015) |
| Abstrakt: | This paper develops a Financial Stress Index (FSI) for 28 OECD countries and examines how it is related to crises using a novel database for financial crises. A stress index measures the current state of stress in the financial system and summarizes it in a single statistic. Our results suggest that even though our FSI is clearly related to the occurrence of crises, there is only a very weak relationship between the FSI and the onset of a crisis, notably the onset of a banking crisis. Policymakers should therefore be aware of the limited usefulness of FSIs as an early warning crisis indicator. |
