 Measuring financial stability in the presence of energy shocksJavier Sánchez-García, Raffaele Mattera, Salvador Cruz-Rambaud and Roy Cerqueti Energy Economics, 2024, vol. 139, issue C Abstract: The Russia–Ukraine conflict highlighted how important energy is for the surveillance of economies worldwide. Both war and economic sanctions inevitably affected energy-related commodity prices. Although shocks in energy commodities are known to have an effect on financial stability, this information is not included in existing financial stability indicators. In this paper, we first provide empirical evidence on the existing relationship between energy-related commodities and financial stability in the EU, UK and US, as well as their importance in the forecast of economic downturns. Based on this evidence, we propose a new composite indicator of financial stability which incorporates relevant information from the energy markets. The suitability of the new composite indicator is assessed by its ability to track financial, economic, and energy crises. Keywords: Energy market; Financial stress; Dynamic Factor Model (DFM); Composite indicators; Macro-financial linkages; Real-time macroeconomics (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006303 DOI: 10.1016/j.eneco.2024.107922 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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