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An index of financial market stress for the United Kingdom

Corbet, Shaen and Twomey, Cian (2014) An index of financial market stress for the United Kingdom. Economics and Business Letters, 3 (2). pp. 127-133. ISSN 2254-4380

Abstract
We construct and develop a new financial market stress index using twenty-three headline UK financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the UK 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.
Metadata
Item Type:Article (Published)
Refereed:Yes
Uncontrolled Keywords:financial crises; financial markets; financial stress indicator; UK
Subjects:Business > Finance
DCU Faculties and Centres:DCU Faculties and Schools > DCU Business School
Publisher:Oviedo University Press
Official URL:http://dx.doi.org/10.17811/ebl.3.2.2014.127-133
Copyright Information:© 2014 Oviedo University Press
Use License:This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License
ID Code:21728
Deposited On:10 Mar 2017 16:45 by Thomas Murtagh . Last Modified 19 Jul 2018 15:10
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