Financial stress indices and financial crises
Marco Hoeberichts (),
Bořek Vašíček (),
Diana Zigraiova (),
Katerina Smidkova and
Jakob de Haan ()
DNB Working Papers from Netherlands Central Bank, Research Department
This paper develops a Financial Stress Index (FSI) for 28 OECD countries and examines its relationship to crises using a novel database for financial crises. A stress index measures the current state of stress in the financial system and summarizes it in a single statistic. Our results suggest that even though our FSI is clearly related to the occurrence of crises, there is only a weak relationship between the FSI and the onset of a crisis, notably the onset of a banking crisis. Policymakers should therefore be aware of the limited usefulness of FSIs as an early warning indicator.
Keywords: financial stress index; financial crises; developed countries; early warning indicators (search for similar items in EconPapers)
JEL-codes: E5 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-rmg
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Journal Article: Financial Stress Indices and Financial Crises (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:469
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