A Financial Stress Index for Ukraine
Journal Title: Visnyk of the National Bank of Ukraine - Year 2017, Vol 0, Issue 240
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.
Authors and Affiliations
Lesia Tyshchenko, Attila Csajbok
Keywords
Related Articles
- EP ID EP426617
- DOI 10.26531/vnbu2017.240.005
- Views 111
- Downloads 0
The NBU’s Balance Sheet: Before, During, and After the Crisis
Looking at the evolution of the central bank’s balance sheet gives us a unique window on the forces that have shaped our economy and central bank reaction functions. This paper considers the evolution of the NBU’s balanc...
Predicting the Utilization Rate and Risk Measures of Committed Credit Facilities
This study proposes a model for predicting the expected drawn amount of credit facilities. To model the committed credit facilities we rely on the conditional expected utilization rate derived from a joint truncated biva...
Cashless Society and De-dollarization in Ukraine. What is Missing from Present Discussions?
The National Bank of Ukraine stepped on the track to a cashless economy aiming at reforming the financial system, improvement of the transmission mechanism, and reduction of the underground economy and corruption. A subs...
How Does Fiscal Policy Affect GDP and Inflation in Ukraine?
In this study, we apply the Blanchard-Perotti approach to estimating the impact of fiscal policy on GDP and inflation in Ukraine. By disaggregating fiscal data, we were able to determine which items of the budget have th...
Behavioral Finance: History and Foundations
Recent evidence suggests that ideology has the potential to affect academic research in economics and that exposure to a wide range of approaches may increase intellectual diversity, eventually leading to better decision...