An index of financial market stress for the United Kingdom
DOI:
https://doi.org/10.17811/ebl.3.2.2014.127-133Abstract
We construct and develop a new financial market stress index using twenty-three headline U.K. financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the U.K. based on the market dynamics around the time of Bank of England crisis-alleviating economic interventions. Our results present clear evidence that the Bank of England’s swift and decisive actions stemmed financial market stress as measured by the stress index.
References
Carlson, M., Lewis, K., Nelson, W. (2014) Using policy intervention to identify financial stress, International Journal of Finance and Economics, forthcoming.
Corbet, S. (2014) The European Financial Market Stress Index, International Journal of Economics and Financial Issues, 4, 217-230.
Grimaldi, M., (2010) Detecting and interpreting financial stress in the Euro area, Working Paper Series, 1214, European Central Bank.
Hollo, D., Kremer, M., Lo Duca, M., (2012) CISS – a composite indicator of systemic stress in the financial system, Working Paper Series, 1426, European Central Bank.
Illing, M., Liu, Y., (2003) An index of Financial Stress for Canada, Working Papers, 03-14, Bank of Canada.
Kaminsky, G.L., Reinhart, C.M., Financial markets in times of stress, Journal of Development Economics, 69, 451-470.
Louzis, D., Vouldis, A., (2013) A financial systematic stress index for Greece, Working Paper Series, 1563, European Central Bank.
Nelson, W.R., Perli, R. (2007) Selected indicators of financial stability, Risk Measurement and Systemic Risk, 4, 343-372.
Oet, M.V., Eiber, R., Bianco, T., Gramlich, D., Ong, S., (2011) The financial stress index: identification of systemic risk conditions, Cleveland Federal Reserve Bank, 1130.
Downloads
Published
How to Cite
Issue
Section
License
The works published in this journal are subject to the following terms:
1. Oviedo University Press (the publisher) retains the property rights (copyright) of published works, and encourages and enables the reuse of the same under the license specified in paragraph 2.
© Ediuno. Ediciones de la Universidad de Oviedo / Oviedo University Press
2. The works are published in the online edition of the journal under a Creative Commons Attribution-Non Commercial-Non Derives 3.0 Spain (legal text). You can copy, use, distribute, transmit and publicly display, provided that: i) you cite the author and the original source of publication (journal, publisher and URL of the work), ii) they are not used for commercial purposes, iii) mentions the existence and specifications of this license.
3. Conditions of self-archiving. The author can archive the post-print version of the article (publisher’s version) on the author’s personal website and/or on the web of the institution where he belong, including a link to the page of the journal and putting the way of citation of the work. Economics and Business Letters and its URL https://reunido.uniovi.es/index.php/EBL/index are the only authorized source for correctly giving the reference of the publisher’s version in every mention of the article.