scholarly journals The OFR Financial Stress Index

Risks ◽  
2019 ◽  
Vol 7 (1) ◽  
pp. 25 ◽  
Author(s):  
Phillip Monin
Keyword(s):  
Activity Index ◽  
Financial Stress ◽  
Stress Index ◽  
Causality Analysis ◽  
Daily Data ◽  
Time Period ◽  
Regression Framework ◽  
Financial Stress Index ◽  
National Activity ◽  
Financial Research

We introduce a financial stress index that was developed by the Office of Financial Research (OFR FSI) and detail its purpose, construction, interpretation, and use in financial market monitoring. The index employs a novel and flexible methodology using daily data from global financial markets. Analysis for the 2000–2018 time period is presented. Using a logistic regression framework and dates of government intervention in the financial system as a proxy for stress events, we found that the OFR FSI performs well in identifying systemic financial stress. In addition, we find that the OFR FSI leads the Chicago Fed National Activity Index in a Granger causality analysis, suggesting that increases in financial stress help predict decreases in economic activity.

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.

On monitoring financial stress index with extreme value theory

2012 ◽  
Vol 12 (3) ◽  
pp. 329-339 ◽  
Author(s):  
Amira Dridi ◽  
Mohamed El Ghourabi ◽  
Mohamed Limam
Keyword(s):  
Extreme Value Theory ◽  
Financial Stress ◽  
Value Theory ◽  
Extreme Value ◽  
Stress Index ◽  
Financial Stress Index
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