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An index of financial market stress for the United Kingdom

Shaen Corbet () and Cian Twomey ()

Economics and Business Letters, 2014, vol. 3, issue 2, 127-133

Abstract: We construct and develop a new financial market stress index using twenty-three headline U.K. financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the U.K. based on the market dynamics around the time of Bank of England crisis-alleviating economic interventions. Our results present clear evidence that the Bank of England’s swift and decisive actions stemmed financial market stress as measured by the stress index.

Date: 2014
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