Economics at your fingertips  

Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom

Somnath Chatterjee, Ching‐Wai (Jeremy) Chiu, Thibaut Duprey and Sinem Hacıoğlu‐Hoke
Authors registered in the RePEc Author Service: Sinem Hacıoğlu Hoke

Oxford Bulletin of Economics and Statistics, 2022, vol. 84, issue 2, 380-400

Abstract: We develop a daily composite index of financial stress for the United Kingdom over 50 years, the UKFSI. The index includes market stress indicators based on their incremental information to capture financial crises. During the COVID‐19 crisis, financial stress peaks but remains less severe than during the Global Financial Crisis. The UKFSI is used in a threshold vector autoregression to differentiate the economic dynamics between tranquil and stressful periods. We highlight the importance of nonlinearities that amplify shocks. But we find no evidence of financial shocks contributing to the COVID‐19 crisis, possibly reflecting effective policy interventions.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

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:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2023-03-26
Handle: RePEc:bla:obuest:v:84:y:2022:i:2:p:380-400