Financial Stress Indices and Financial Crises
Copyright policy )Financial Stress Indices and Financial Crises
This paper develops a Financial Stress Index (FSI) for 28 OECD countries and examines its relationship to crises using a novel database for financial crises. A stress index measures the current state of stress in the financial system and summarizes it in a single statistic. Our results suggest that even though our FSI is clearly related to the occurrence of crises, there is only a weak relationship between the FSI and the onset of a crisis, notably the onset of a banking crisis. Policymakers should therefore be aware of the limited usefulness of FSIs as an early warning indicator.
- European Commission Belgium
- Directorate-General for Economic and Financial Affairs Belgium
- University of Groningen Netherlands
- De Nederlandsche Bank Netherlands
- Center for Economic Studies Germany
Economics and Econometrics, Financial stress index, Developed countries, ASSET PRICES, Financial crises, BANKING CRISES, CREDIT, Early warning indicators
Economics and Econometrics, Financial stress index, Developed countries, ASSET PRICES, Financial crises, BANKING CRISES, CREDIT, Early warning indicators
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