A Financial Stress Index for Ukraine

Lesia Tyshchenko () and Attila Csajbok ()
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Lesia Tyshchenko: National Bank of Ukraine
Attila Csajbok: Vienna Financial Sector Advisory Centre (FinSAC)

Visnyk of the National Bank of Ukraine, 2017, issue 240, 5-13

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.

Keywords: Financial stress index; financial system; financial stability; financial crises (search for similar items in EconPapers)
JEL-codes: E44 G01 G10 G20 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ukb:journl:y:2017:i:240:p:5-13

DOI: 10.26531/vnbu2017.240.005

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