MEASURING FINANCIAL SYSTEMIC STRESS IN ROMANIA: A COMPOSITE INDICATOR APPROACH
The authorities and financial supervisors recognized, following the financial and economic crises, that the process of identification of systemic risks should receive more attention. The aim of this paper is to construct a financial systemic stress indicator which aims to predict which financ...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
“Victor Slăvescu” Centre for Financial and Monetary Research
2016-09-01
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| Series: | Financial Studies |
| Subjects: | |
| Online Access: | http://fs.icfm.ro/vol20i3p28-38.pdf |
| _version_ | 1797900297388949504 |
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| author | Ágnes NAGY Annamária DÉZSI-BENYOVSZKI Imre SZÉKELY |
| author_facet | Ágnes NAGY Annamária DÉZSI-BENYOVSZKI Imre SZÉKELY |
| author_sort | Ágnes NAGY |
| collection | DOAJ |
| description | The authorities and financial supervisors recognized, following
the financial and economic crises, that the process of identification of
systemic risks should receive more attention. The aim of this paper is
to construct a financial systemic stress indicator which aims to predict
which financial stress tends to depress the real economy in Romania.
We obtained the composite indicator with the aggregation of five
market-specific subindices created from individual financial stress
measures (foreign exchange market, bond market, equity market,
money market and banking sector). The systemic nature of stress is
captured by the time-varying correlations between market segments.
This indicator represents a real-time measure of systemic risk and
quantify stress in the Romanian financial system. The results show
that the financial systemic stress index is able to provide a
periodization of crises. |
| first_indexed | 2024-04-10T08:43:46Z |
| format | Article |
| id | doaj.art-8038c33bbd324ad783667d8997d5dd24 |
| institution | Directory Open Access Journal |
| issn | 2066-6071 |
| language | English |
| last_indexed | 2024-04-10T08:43:46Z |
| publishDate | 2016-09-01 |
| publisher | “Victor Slăvescu” Centre for Financial and Monetary Research |
| record_format | Article |
| series | Financial Studies |
| spelling | doaj.art-8038c33bbd324ad783667d8997d5dd242023-02-22T17:35:25Zeng“Victor Slăvescu” Centre for Financial and Monetary ResearchFinancial Studies2066-60712016-09-012032839MEASURING FINANCIAL SYSTEMIC STRESS IN ROMANIA: A COMPOSITE INDICATOR APPROACHÁgnes NAGY0Annamária DÉZSI-BENYOVSZKI1Imre SZÉKELY2Faculty of Economics and Business Administration, Babeş-Bolyai University of Cluj-NapocaFaculty of Economics and Business Administration, Babeş-Bolyai University of Cluj-NapocaFaculty of Economics and Business Administration, Babeş-Bolyai University of Cluj-NapocaThe authorities and financial supervisors recognized, following the financial and economic crises, that the process of identification of systemic risks should receive more attention. The aim of this paper is to construct a financial systemic stress indicator which aims to predict which financial stress tends to depress the real economy in Romania. We obtained the composite indicator with the aggregation of five market-specific subindices created from individual financial stress measures (foreign exchange market, bond market, equity market, money market and banking sector). The systemic nature of stress is captured by the time-varying correlations between market segments. This indicator represents a real-time measure of systemic risk and quantify stress in the Romanian financial system. The results show that the financial systemic stress index is able to provide a periodization of crises.http://fs.icfm.ro/vol20i3p28-38.pdffinancial systemsystemic riskfinancial crisiscomposite indicatoremerging economy |
| spellingShingle | Ágnes NAGY Annamária DÉZSI-BENYOVSZKI Imre SZÉKELY MEASURING FINANCIAL SYSTEMIC STRESS IN ROMANIA: A COMPOSITE INDICATOR APPROACH Financial Studies financial system systemic risk financial crisis composite indicator emerging economy |
| title | MEASURING FINANCIAL SYSTEMIC STRESS IN ROMANIA: A COMPOSITE INDICATOR APPROACH |
| title_full | MEASURING FINANCIAL SYSTEMIC STRESS IN ROMANIA: A COMPOSITE INDICATOR APPROACH |
| title_fullStr | MEASURING FINANCIAL SYSTEMIC STRESS IN ROMANIA: A COMPOSITE INDICATOR APPROACH |
| title_full_unstemmed | MEASURING FINANCIAL SYSTEMIC STRESS IN ROMANIA: A COMPOSITE INDICATOR APPROACH |
| title_short | MEASURING FINANCIAL SYSTEMIC STRESS IN ROMANIA: A COMPOSITE INDICATOR APPROACH |
| title_sort | measuring financial systemic stress in romania a composite indicator approach |
| topic | financial system systemic risk financial crisis composite indicator emerging economy |
| url | http://fs.icfm.ro/vol20i3p28-38.pdf |
| work_keys_str_mv | AT agnesnagy measuringfinancialsystemicstressinromaniaacompositeindicatorapproach AT annamariadezsibenyovszki measuringfinancialsystemicstressinromaniaacompositeindicatorapproach AT imreszekely measuringfinancialsystemicstressinromaniaacompositeindicatorapproach |