Systemic Financial Stress: a composite indicator for BRIC area

Luigi Mersico ()
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Luigi Mersico: Dipartimento di Ingegneria, Università degli Studi di Perugia

Argomenti, 2017, vol. 6, issue 6, 1-30

Abstract: The article proposes a new financial stress indicator for the BRIC area using data from 1997 to 2015. The composite indicator is the synthesis of three underlying indicators for the stock market; exchange rates market and the debt market. Empirical analysis shows that the indicator is able to capture the major financial stress episodes that have characterized the economies under analysis.

Keywords: financial crises; financial markets; financial stress indicator. (search for similar items in EconPapers)
JEL-codes: E44 F30 G10 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:urb:journl:v:6:y:2017:p:1-30

DOI: 10.14276/1971-8357.645

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