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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