Measuring Financial Stress Index for Malaysian Economy
The study measures financial stress index for Malaysian economy. We aggregate the identified financial and economic factors into a single index using the principal component analysis (CPA). The result shows that MFSI increases as a result of increase in banking sector fragility index, credit stress...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2016-07-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/2582 |
| _version_ | 1797908537693700096 |
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| author | Jauhari Dahalan Hussin Bin Abdullah Mohammed Umar |
| author_facet | Jauhari Dahalan Hussin Bin Abdullah Mohammed Umar |
| author_sort | Jauhari Dahalan |
| collection | DOAJ |
| description |
The study measures financial stress index for Malaysian economy. We aggregate the identified financial and economic factors into a single index using the principal component analysis (CPA). The result shows that MFSI increases as a result of increase in banking sector fragility index, credit stress, external debt, stock market volatility and exchange market pressure index. Moreover, the weights of the variables reveal that the magnitude of the Malaysian financial stress is mainly driven by the fragility of the banking sector. The combine variables explain about 53 percent of the total variation in the Malaysian financial stress index (MFSI). Thus, the financial stress is determined to be the key player in the co-movement of the components used in the construction process. Furthermore, the aggregated components practically capture the known key aspects of financial stress in Malaysia. The implication of the finding is that authorities should focus more on banking sector stability than other components of the financial stress. This will help to reduce the overheating of the Malaysian financial stress.
Keywords: Economic indicators, financial crisis, financial stress index, Malaysia
JEL Classifications: C43, G01
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| first_indexed | 2024-04-10T10:54:25Z |
| format | Article |
| id | doaj.art-7b84001388224e9cbf0286dbf044bcd9 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T10:54:25Z |
| publishDate | 2016-07-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-7b84001388224e9cbf0286dbf044bcd92023-02-15T16:20:02ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382016-07-0163Measuring Financial Stress Index for Malaysian EconomyJauhari DahalanHussin Bin AbdullahMohammed Umar0School of Economics, Finance and Banking University Utara Malaysia The study measures financial stress index for Malaysian economy. We aggregate the identified financial and economic factors into a single index using the principal component analysis (CPA). The result shows that MFSI increases as a result of increase in banking sector fragility index, credit stress, external debt, stock market volatility and exchange market pressure index. Moreover, the weights of the variables reveal that the magnitude of the Malaysian financial stress is mainly driven by the fragility of the banking sector. The combine variables explain about 53 percent of the total variation in the Malaysian financial stress index (MFSI). Thus, the financial stress is determined to be the key player in the co-movement of the components used in the construction process. Furthermore, the aggregated components practically capture the known key aspects of financial stress in Malaysia. The implication of the finding is that authorities should focus more on banking sector stability than other components of the financial stress. This will help to reduce the overheating of the Malaysian financial stress. Keywords: Economic indicators, financial crisis, financial stress index, Malaysia JEL Classifications: C43, G01 http://mail.econjournals.com/index.php/ijefi/article/view/2582 |
| spellingShingle | Jauhari Dahalan Hussin Bin Abdullah Mohammed Umar Measuring Financial Stress Index for Malaysian Economy International Journal of Economics and Financial Issues |
| title | Measuring Financial Stress Index for Malaysian Economy |
| title_full | Measuring Financial Stress Index for Malaysian Economy |
| title_fullStr | Measuring Financial Stress Index for Malaysian Economy |
| title_full_unstemmed | Measuring Financial Stress Index for Malaysian Economy |
| title_short | Measuring Financial Stress Index for Malaysian Economy |
| title_sort | measuring financial stress index for malaysian economy |
| url | http://mail.econjournals.com/index.php/ijefi/article/view/2582 |
| work_keys_str_mv | AT jauharidahalan measuringfinancialstressindexformalaysianeconomy AT hussinbinabdullah measuringfinancialstressindexformalaysianeconomy AT mohammedumar measuringfinancialstressindexformalaysianeconomy |