The financial stability index estimated by the Institute of Financial Studies
In each issue of the Financial Studies Review, we update and publish the Financial Stability Index (FSI) of our Institute of Financial Studies, which tracks the correlation between economic growth and macroeconomic and financial factors in Romania. We constructed a composite index using a linear c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Institutul de Studii Financiare
2018-04-01
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| Series: | Revista de Studii Financiare |
| Subjects: | |
| Online Access: | https://revista.isfin.ro/wp-content/uploads/2018/05/4_Financial-Stability-Index-by-ISF-4_EN-1.pdf |
| _version_ | 1828420553822699520 |
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| author | Ion Stancu Andrei Tudor Stancu Iulian Panait |
| author_facet | Ion Stancu Andrei Tudor Stancu Iulian Panait |
| author_sort | Ion Stancu |
| collection | DOAJ |
| description | In each issue of the Financial Studies Review, we update and publish the Financial Stability Index (FSI) of our
Institute of Financial Studies, which tracks the correlation between economic growth and macroeconomic and
financial factors in Romania. We constructed a composite index using a linear combination of financial variables
that are considered to have a significant impact on economic activity. These financial variables are weighted with
respect to their cumulated two quarters impulse response on GDP growth, as estimated by a VAR model.
Developing such a composite index of financial stability or financial stress has two main utilities:
• The analysis of the correlation between financial variables and the real economy placed in the context of
different historical episodes of financial crisis. Also, this correlation analysis reveals, in each period, the
significant positive or negative contribution of each financial variable to real economic growth.
Following this analysis, the FSI can measure the impact of economic and financial policy measures aimed
at mitigating financial crises.
• The short-term prediction of real economic growth estimated by forecasting the next period evolution of
the real economic activity (GDPt+1) using current period GDPt and FSIt. |
| first_indexed | 2024-12-10T15:15:11Z |
| format | Article |
| id | doaj.art-3bd2300bb2244f67bc9a6854c3b095e5 |
| institution | Directory Open Access Journal |
| issn | 2537-3714 2559-1347 |
| language | English |
| last_indexed | 2024-12-10T15:15:11Z |
| publishDate | 2018-04-01 |
| publisher | Institutul de Studii Financiare |
| record_format | Article |
| series | Revista de Studii Financiare |
| spelling | doaj.art-3bd2300bb2244f67bc9a6854c3b095e52022-12-22T01:43:49ZengInstitutul de Studii FinanciareRevista de Studii Financiare2537-37142559-13472018-04-013459The financial stability index estimated by the Institute of Financial StudiesIon StancuAndrei Tudor StancuIulian PanaitIn each issue of the Financial Studies Review, we update and publish the Financial Stability Index (FSI) of our Institute of Financial Studies, which tracks the correlation between economic growth and macroeconomic and financial factors in Romania. We constructed a composite index using a linear combination of financial variables that are considered to have a significant impact on economic activity. These financial variables are weighted with respect to their cumulated two quarters impulse response on GDP growth, as estimated by a VAR model. Developing such a composite index of financial stability or financial stress has two main utilities: • The analysis of the correlation between financial variables and the real economy placed in the context of different historical episodes of financial crisis. Also, this correlation analysis reveals, in each period, the significant positive or negative contribution of each financial variable to real economic growth. Following this analysis, the FSI can measure the impact of economic and financial policy measures aimed at mitigating financial crises. • The short-term prediction of real economic growth estimated by forecasting the next period evolution of the real economic activity (GDPt+1) using current period GDPt and FSIt.https://revista.isfin.ro/wp-content/uploads/2018/05/4_Financial-Stability-Index-by-ISF-4_EN-1.pdfcomposite indexfinancial stress indexeconomic growthVAR modelshort-term prediction |
| spellingShingle | Ion Stancu Andrei Tudor Stancu Iulian Panait The financial stability index estimated by the Institute of Financial Studies Revista de Studii Financiare composite index financial stress index economic growth VAR model short-term prediction |
| title | The financial stability index estimated by the Institute of Financial Studies |
| title_full | The financial stability index estimated by the Institute of Financial Studies |
| title_fullStr | The financial stability index estimated by the Institute of Financial Studies |
| title_full_unstemmed | The financial stability index estimated by the Institute of Financial Studies |
| title_short | The financial stability index estimated by the Institute of Financial Studies |
| title_sort | financial stability index estimated by the institute of financial studies |
| topic | composite index financial stress index economic growth VAR model short-term prediction |
| url | https://revista.isfin.ro/wp-content/uploads/2018/05/4_Financial-Stability-Index-by-ISF-4_EN-1.pdf |
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