Publication detail

Financial Stress Indices and Financial Crises

Author(s): † 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
Type: Articles in journals with impact factor
Year: 2015
Number: 0
ISSN / ISBN:
Published in: Open Economies Review, vol. 26(3), pp.383-406
Publishing place:
Keywords: financial stress index, financial crises, developed countries, early warning indicators
JEL codes: E5, G10
Suggested Citation: Also published as DNB WP 469 (2015)
Abstract: 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.

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