Financial stress and economic activity in some emerging Asian economies

Emrah Çevik, Selahattin Dibooglu and Turalay Kenc

Research in International Business and Finance, 2016, vol. 36, issue C, 127-139

Abstract: This paper investigates episodes of financial stress and its relationship to economic activity in some Southeast Asian economies. To that end, we use a dynamic factor model to construct a financial stress index for Indonesia, South Korea, Malaysia, the Philippines, and Thailand and examine the relationship between financial stress and economic activity. Our financial stress index consists of riskiness in the banking sector, security market risk, currency risk, external debt and sovereign risk. Empirical results indicate that our financial stress index tracks recessions closely in the sample and impulse response functions suggest financial stress causes significant economic slowdowns.

Keywords: Financial crises; Financial pressure; Economic indicators; Business cycles (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531915300222
Full text for ScienceDirect subscribers only

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:eee:riibaf:v:36:y:2016:i:c:p:127-139

DOI: 10.1016/j.ribaf.2015.09.017

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().