A financial systemic stress index for Romania

Artikel

Detecting and measuring financial stress and its systemic risk channels have been one of the main concerns for authorities and financial supervisors especially after the financial crisis from 2008. In this paper, we aim to build a financial stress index (FSI) for Romania using monthly data from May 2005 to December 2019. The purpose of the indicator is to provide a quick, clear and intuitive assessment of the current state of the financial system. To do so, we compose 5 different sub-indexes using 9 variables which represent five different market segments: banking sector, money market, stock market, securities market and foreign exchange market. The results suggest that the financial stress index developed successfully captures the stress episodes observed in Romania in the past.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Financial Studies ; ISSN: 2066-6071 ; Volume: 24 ; Year: 2020 ; Issue: 3 (89) ; Pages: 41-50 ; Bucharest: Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Markets and the Macroeconomy ; Central Banks and Their Policies ; General Financial Markets: General (includes Measurement and Data) ; Financial Institutions and Services: General
• Thema: financial stress index ; financial crisis ; composite indicator of systemic stress

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Draghia, Andreea ; Ștefoni, Sorina Emanuela
• Ereignis: Veröffentlichung
• (wer): Romanian Academy, National Institute of Economic Research (INCE), "Victor Slăvescu" Centre for Financial and Monetary Research
• (wo): Bucharest
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/231703
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ