A New Financial Stress Index for Ukraine

Vladyslav Filatov ()
Additional contact information
Vladyslav Filatov: National Bank of Ukraine

Visnyk of the National Bank of Ukraine, 2021, issue 251, 37-54

Abstract: TThis study improves on the methodology for calculating the financial stress index (FSI) for Ukraine by introducing a time-varying correlation into the aggregation of five subindices (representing the banking sector, households, the corporate sector, government securities, and the foreign exchange (FX) market). The index consists of 20 indicators selected from an initial list of 47 potential candidates. To check the performance of the indicators, subindices, and the index, we use the area under the receiver operating characteristic curve (AUROC) and logit tests. Each subindex is assigned a weight that reflects the impact of each market on the financial system. This new FSI peaks during periods of crisis that are in line with the consensus of financial experts and performs better than the previous FSI, which makes it more attractive for policy decisions. In particular, the new FSI can be used as a monitoring tool for the macroprudential policy of the National Bank of Ukraine.

Keywords: financial stability; financial stress index; indicator performance (search for similar items in EconPapers)
JEL-codes: E44 G01 G18 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journal.bank.gov.ua/en/article/2021/251/03 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ukb:journl:y:2021:i:251:p:37-54

DOI: 10.26531/vnbu2021.251.03

Access Statistics for this article

More articles in Visnyk of the National Bank of Ukraine from National Bank of Ukraine Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit ().