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An index of financial market stress for the United Kingdom

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  • Shaen Corbet
  • Cian Twomey

Abstract

We construct and develop a new financial market stress index using twenty-three headline U.K. financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the U.K. based on the market dynamics around the time of Bank of England crisis-alleviating economic interventions. Our results present clear evidence that the Bank of England’s swift and decisive actions stemmed financial market stress as measured by the stress index.

Suggested Citation

  • Shaen Corbet & Cian Twomey, 2014. "An index of financial market stress for the United Kingdom," Economics and Business Letters, Oviedo University Press, vol. 3(2), pages 127-133.
    • Handle: RePEc:ove:journl:aid:10384
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    File URL: https://reunido.uniovi.es/index.php/EBL/article/view/10384
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    References listed on IDEAS

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    1. Kaminsky, Graciela L. & Reinhart, Carmen M., 2002. "Financial markets in times of stress," Journal of Development Economics, Elsevier, vol. 69(2), pages 451-470, December.
    2. Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
    3. repec:ecb:ecbwps:20111426 is not listed on IDEAS
    4. Mark Carlson & Kurt Lewis & William Nelson, 2014. "Using Policy Intervention To Identify Financial Stress," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(1), pages 59-72, January.
    5. Blix Grimaldi, Marianna, 2010. "Detecting and interpreting financial stress in the euro area," Working Paper Series 1214, European Central Bank.
    6. Dimitrios P. Louzis & Angelos T. Vouldis, 2013. "A financial systemic stress index for Greece," Working Papers 155, Bank of Greece.
    7. Shaen Corbet, 2014. "The European Financial Market Stress Index," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 217-230.
    8. Mark Illing & Ying Liu, 2003. "An Index of Financial Stress for Canada," Staff Working Papers 03-14, Bank of Canada.
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    Cited by:

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    2. Corbet, Shaen & Lucey, Brian & Urquhart, Andrew & Yarovaya, Larisa, 2019. "Cryptocurrencies as a financial asset: A systematic analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 182-199.
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    4. C. Glocker & G. Sestieri & P. Towbin, 2017. "Time-varying fiscal spending multipliers in the UK," Working papers 643, Banque de France.

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