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A Financial Stress Index for Ukraine

Author

Listed:
  • Lesia Tyshchenko

    (National Bank of Ukraine)

  • Attila Csajbok

    (Vienna Financial Sector Advisory Centre (FinSAC))

Abstract

In this paper, we develop a daily Financial Stress Index (FSI) for the comprehensive quantitative measurement of the degree of stress in Ukraine's financial system. We use 14 individual indicators grouped into four sub-indices - the banking sector, corporate debt, government debt, and the foreign exchange market - to construct the FSI. The index measures the level of stress and vulnerability of the financial sector and enables to compare this level at current moment with its dynamic in the past. The FSI can signal the start of a financial crisis and can be used to assess the effectiveness of anti-crisis measures.

Suggested Citation

  • Lesia Tyshchenko & Attila Csajbok, 2017. "A Financial Stress Index for Ukraine," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 240, pages 5-13.
    • Handle: RePEc:ukb:journl:y:2017:i:240:p:5-13
    DOI: 10.26531/vnbu2017.240.005
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    File URL: https://journal.bank.gov.ua/en/article/2017/240/01
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    References listed on IDEAS

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    1. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2002. "Aggregate Price Shocks and Financial Instability: A Historical Analysis," Economic Inquiry, Western Economic Association International, vol. 40(4), pages 521-538, October.
    2. Blix Grimaldi, Marianna, 2010. "Detecting and interpreting financial stress in the euro area," Working Paper Series 1214, European Central Bank.
    3. Mark Illing & Ying Liu, 2003. "An Index of Financial Stress for Canada," Staff Working Papers 03-14, Bank of Canada.
    4. Jan Willem Slingenberg & Jakob de Haan, 2011. "Forecasting Financial Stress," DNB Working Papers 292, Netherlands Central Bank, Research Department.
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    Cited by:

    1. Vladyslav Filatov, 2020. "A New Financial Stress Index for Ukraine," IHEID Working Papers 15-2020, Economics Section, The Graduate Institute of International Studies.

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    More about this item

    Keywords

    Financial stress index; financial system; financial stability; financial crises;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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