scholarly journals Information Network Modeling for U.S. Banking Systemic Risk

Entropy ◽  
2020 ◽  
Vol 22 (11) ◽  
pp. 1331
Author(s):  
Giancarlo Nicola ◽  
Paola Cerchiello ◽  
Tomaso Aste
Keyword(s):  
Information Theory ◽  
Time Series ◽  
Mutual Information ◽  
Granger Causality ◽  
Graphical Model ◽  
Financial Stress ◽  
Transfer Entropy ◽  
Control Measures ◽  
Stress Index ◽  
Financial Stress Index

In this work we investigate whether information theory measures like mutual information and transfer entropy, extracted from a bank network, Granger cause financial stress indexes like LIBOR-OIS (London Interbank Offered Rate-Overnight Index Swap) spread, STLFSI (St. Louis Fed Financial Stress Index) and USD/CHF (USA Dollar/Swiss Franc) exchange rate. The information theory measures are extracted from a Gaussian Graphical Model constructed from daily stock time series of the top 74 listed US banks. The graphical model is calculated with a recently developed algorithm (LoGo) which provides very fast inference model that allows us to update the graphical model each market day. We therefore can generate daily time series of mutual information and transfer entropy for each bank of the network. The Granger causality between the bank related measures and the financial stress indexes is investigated with both standard Granger-causality and Partial Granger-causality conditioned on control measures representative of the general economy conditions.

The link between financial stress index and economic activity: prominent Granger causalities across frequencies in Luxembourg

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Pejman Bahramian ◽  
Andisheh Saliminezhad ◽  
Şule Aker
Keyword(s):  
Granger Causality ◽  
Time Domain ◽  
Economic Activity ◽  
Financial Stress ◽  
Financial Sector ◽  
Stress Index ◽  
Content Type ◽  
Financial Stress Index ◽  
The Time Domain ◽  
The Relationship

PurposeIn spite of the certain risk imposed by financial stress on the real economy, the relationship between financial stress and economic activity is complicated and underresearched, meaning that important gaps still remain in the authors’ understanding of this critical relationship. Therefore, the current study aims to answer the significant question regarding whether a stressful financial sector has predictive power on the real sector and vice versa. Hence, the study examines the causal interrelationship between financial stress index (FSI) and economic activity in Luxembourg as a sample country.Design/methodology/approachIn this study, accompanying the time domain Granger causality framework of Hacker and Hatemi-J (2012), the authors utilize the spectral causality technique of Breitung and Candelon (2006), which is based on the study of Geweke (1982) and Hosoya (1991). This method enables the researcher to measure the degree of a particular variation in time series. Moreover, it allows considering the nonlinearities and causality cycles. The authors further apply the recent method of Farné and Montanari (2018) that is a bootstrap framework on Granger-causality spectra, which allows for disambiguation in causalities.FindingsThe time-domain approach finds evidence of bidirectional causation between the variables. However, the spectral causality results indicate the causal linkages between the series are only valid under the medium-run frequency. This study’s findings emphasize covering the frequency causality to deliver a more comprehensive picture of the interrelationship between the variables.Originality/valueThere are many studies in this area that examine the nexus between financial stress and economic activity. However, the authors believe this paper is the first study in the context of Luxemburg. The authors focus on this country since its financial sector is designated as the most important pillar for the economy. Thus, a careful and reliable examination of the relationship between the financial sector and economic activity is likely to be of considerable interest to policymakers and researchers in this field.

The Cleveland Financial Stress Index

2012 ◽  
Author(s):  
Timothy Bianco ◽  
Mikhail V. Oet ◽  
Stephen J. Ong
Keyword(s):  
Financial Stress ◽  
Stress Index ◽  
Financial Stress Index

TOURISM INDUSTRY STRESS INDEX AND ITS RELATIONSHIP TO THE FINANCIAL STRESS INDEX

2021 ◽  
Vol 27 (2) ◽  
pp. 363-383
Author(s):  
Marina Malkina ◽  
Anton Ovcharov
Keyword(s):  
Interaction Design ◽  
Moving Average ◽  
Financial Stress ◽  
Principal Component ◽  
Tourism Industry ◽  
Real Effective Exchange Rate ◽  
Stress Index ◽  
Marginal Effect ◽  
Causality Test ◽  
Financial Stress Index

Purpose – development of the Tourism Industry Stress Index (TSI) and the Financial Stress Index (FSI) followed by an examination of their interaction. Design – The TSI, which aggregates tourist arrivals, overnight stays and net occupancy, was tested on data for Finland, Italy, Germany and Spain between 1993 and 2020. The FSI was composed of the S&P500 index, Brent oil futures, and the real effective exchange rate of the euro. Methodology / Approach – Both stress indices were calculated as the difference between the moving standard deviation and the moving average of the monthly growth rate of the selected indicators. We aggregated them by applying two alternative techniques: arithmetic mean and nonnormalized principal component analysis. The Granger causality test was utilised to assess the dependence between the indices. Findings – We identified periods of increased volatility in the European tourism market and described its connection to financial crises. The causality test of the FSI-TSI model showed that financial turmoil led to increased tourism market stress with an average lag of three months and a marginal effect of 0.2. Originality of the research – We recommend the Financial Stress Index as a predictor of the Tourism Industry Stress Index in the business cycle.

Measuring the Impact of Financial Crisis

2016 ◽  
pp. 274-283
Author(s):  
İsmail Yıldırım
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Financial Crisis ◽  
Global Financial Crisis ◽  
Financial Stress ◽  
Stress Index ◽  
Destructive Effect ◽  
Monthly Data ◽  
Financial Stress Index ◽  
The Impact

Crisis in 2001 and global financial crisis in 2008 effect Turk economy in a lot of ways. Financial crisis creates destructive effect especially on increasing market economies. It is not so easy to watch occurring of this financial crisis and determining of its expanding. First of all determining of crisis terms are needed to predict of financial crisis. In this part, a financial stress index is composed by using TL interest rate and monthly data of global gross reserves belongs to $/TL exchange rate between 1997:01-2014:12 terms for Turkey. Months when financial stress index raised to top level for Turkey and financial crisis are observed on, are found as February(2001) and November (2008).

scholarly journals The Financial Stress Index: Identification of Systemic Risk Conditions

Risks ◽  
2015 ◽  
Vol 3 (3) ◽  
pp. 420-444 ◽  
Author(s):  
Mikhail Oet ◽  
John Dooley ◽  
Stephen Ong
Keyword(s):  
Systemic Risk ◽  
Financial Stress ◽  
Stress Index ◽  
Financial Stress Index

Financial markets and the working class in the USA: an empirical investigation of financial stress

2019 ◽  
Vol 43 (4) ◽  
pp. 867-890 ◽  
Author(s):  
Michael J McCormack
Keyword(s):  
Working Class ◽  
Financial Markets ◽  
Financial Stress ◽  
Safety Net ◽  
Stress Index ◽  
Survey Of Consumer Finances ◽  
Consumer Finances ◽  
The Usa ◽  
Financial Stress Index ◽  
The Relationship

AbstractThis paper investigates the relationship between financial stress and the working class in the USA. Employing a financial stress index created from the Survey of Consumer Finances, I show that working class households are nearly twice as likely to be financially stressed than wealthier non-working class households from 1992 to 2016. A possible explanation of this result could be that the financial expropriation of personal income among the working class has the effect of increasing that group’s financial stress relative to wealthier classes. Working class households in the USA have struggled to afford means of subsistence in lieu of lacklustre wage growth and a tattered safety net. Financial expropriation of these households has operated in tandem with this precarity, increasing financial stress in a time of financialised capitalism.

Sign in / Sign up

Export Citation Format

Share Document