IDEAS home Printed from https://ideas.repec.org/p/fau/wpaper/wp2013_13.html
   My bibliography  Save this paper

How to Measure Financial (In)Stability in Emerging Europe?

Author

Listed:
  • Petr Jakubik

    (European Insurance and Occupational Pensions Authority (EIOPA), Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)

  • Tomas Slacik

    (Oesterreichische Nationalbank, Foreign Research Division)

Abstract

The importance of assessing financial stability in emerging Europe has increased rapidly since the recent financial crisis. Against this background, in the present paper we contribute to the existing literature in a twofold way: First, by using a broad range of indicators from money, bond, equity and foreign exchange markets, we develop a comprehensive financial instability index (FII) that gauges the level of financial market stress in some key Central, Eastern and Southeastern European (CESEE) countries. In a second step, we perform a panel estimation to investigate which macroprudential indicators that cover both internal and external imbalances explain the evolution of our FII over the past more than 15 years. Our analysis suggests that both the levels and changes of some indicators (such as credit growth and the level of private sector indebtedness) play an important role for financial stability. Moreover, we find that the impact of some key indicators on financial (in)stability is nonlinear and varies over time depending on market sentiment.

Suggested Citation

  • Petr Jakubik & Tomas Slacik, 2013. "How to Measure Financial (In)Stability in Emerging Europe?," Working Papers IES 2013/13, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2013.
    • Handle: RePEc:fau:wpaper:wp2013_13
    as

    Download full text from publisher

    File URL: http://ies.fsv.cuni.cz/sci/publication/show/id/4879/lang/cs
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Akosah, Nana & Loloh, Francis & Lawson, Natalia & Kumah, Claudia, 2018. "Measuring Financial Stability in Ghana: A New Index-Based Approach," MPRA Paper 86634, University Library of Munich, Germany.
    2. Murat AKÇA & Vedat KAYA, 2023. "Effectiveness of Unconventional Monetary Policy Tools on Financial Stability: A NARDL Approach for Turkey," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 63-80, June.
    3. Alessandro Bitetto & Paola Cerchiello & Charilaos Mertzanis, 2021. "A data-driven approach to measuring financial soundness throughout the world," DEM Working Papers Series 199, University of Pavia, Department of Economics and Management.
    4. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "On the efficient synthesis of short financial time series: A Dynamic Factor Model approach," Finance Research Letters, Elsevier, vol. 53(C).
    5. Magdalena Ziolo & Beata Zofia Filipiak & Iwona Bąk & Katarzyna Cheba, 2019. "How to Design More Sustainable Financial Systems: The Roles of Environmental, Social, and Governance Factors in the Decision-Making Process," Sustainability, MDPI, vol. 11(20), pages 1-34, October.

    More about this item

    Keywords

    Financial stability; crisis; macroprudential framework; emerging Europe; external and internal imbalances;
    All these keywords.

    JEL classification:

    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fau:wpaper:wp2013_13. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Natalie Svarcova (email available below). General contact details of provider: https://edirc.repec.org/data/icunicz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.