A New Financial Stress Index for Ukraine
This study improves on the methodology for calculating the financial stress index (FSI) for Ukraine by introducing a time-varying correlation into the aggregation of five subindices (representing the banking sector, households, the corporate sector, government securities, and the foreign exchange (F...
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Format: | Article |
Language: | English |
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National Bank of Ukraine
2021-06-01
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Series: | Visnyk of the National Bank of Ukraine |
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Online Access: | https://journal.bank.gov.ua/en/article/2021/251/03 |
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author | Vladyslav Filatov |
author_facet | Vladyslav Filatov |
author_sort | Vladyslav Filatov |
collection | DOAJ |
description | This study improves on the methodology for calculating the financial stress index (FSI) for Ukraine by introducing a time-varying correlation into the aggregation of five subindices (representing the banking sector, households, the corporate sector, government securities, and the foreign exchange (FX) market). The index consists of 20 indicators selected from an initial list of 47 potential candidates. To check the performance of the indicators, subindices, and the index, we use the area under the receiver operating characteristic curve (AUROC) and logit tests. Each subindex is assigned a weight that reflects the impact of each market on the financial system. This new FSI peaks during periods of crisis that are in line with the consensus of financial experts and performs better than the previous FSI, which makes it more attractive for policy decisions. In particular, the new FSI can be used as a monitoring tool for the macroprudential policy of the National Bank of Ukraine. |
first_indexed | 2024-12-13T09:36:00Z |
format | Article |
id | doaj.art-512f346eed8549e98f8d8b7828e89259 |
institution | Directory Open Access Journal |
issn | 2414-987X |
language | English |
last_indexed | 2024-12-13T09:36:00Z |
publishDate | 2021-06-01 |
publisher | National Bank of Ukraine |
record_format | Article |
series | Visnyk of the National Bank of Ukraine |
spelling | doaj.art-512f346eed8549e98f8d8b7828e892592022-12-21T23:52:21ZengNational Bank of UkraineVisnyk of the National Bank of Ukraine2414-987X2021-06-01251375410.26531/vnbu2021.251.03A New Financial Stress Index for UkraineVladyslav Filatov 0National Bank of Ukraine, National University of Kyiv-Mohyla AcademyThis study improves on the methodology for calculating the financial stress index (FSI) for Ukraine by introducing a time-varying correlation into the aggregation of five subindices (representing the banking sector, households, the corporate sector, government securities, and the foreign exchange (FX) market). The index consists of 20 indicators selected from an initial list of 47 potential candidates. To check the performance of the indicators, subindices, and the index, we use the area under the receiver operating characteristic curve (AUROC) and logit tests. Each subindex is assigned a weight that reflects the impact of each market on the financial system. This new FSI peaks during periods of crisis that are in line with the consensus of financial experts and performs better than the previous FSI, which makes it more attractive for policy decisions. In particular, the new FSI can be used as a monitoring tool for the macroprudential policy of the National Bank of Ukraine.https://journal.bank.gov.ua/en/article/2021/251/03financial stabilityfinancial stress indexindicator performance |
spellingShingle | Vladyslav Filatov A New Financial Stress Index for Ukraine Visnyk of the National Bank of Ukraine financial stability financial stress index indicator performance |
title | A New Financial Stress Index for Ukraine |
title_full | A New Financial Stress Index for Ukraine |
title_fullStr | A New Financial Stress Index for Ukraine |
title_full_unstemmed | A New Financial Stress Index for Ukraine |
title_short | A New Financial Stress Index for Ukraine |
title_sort | new financial stress index for ukraine |
topic | financial stability financial stress index indicator performance |
url | https://journal.bank.gov.ua/en/article/2021/251/03 |
work_keys_str_mv | AT vladyslavfilatov anewfinancialstressindexforukraine AT vladyslavfilatov newfinancialstressindexforukraine |