A Financial Stability Index for Israel

Arzamasov, Vadim; Penikas, Henry

doi:10.1016/j.procs.2014.05.351

Cited by 18 publications

(12 citation statements)

References 2 publications

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“…This approach shows that by assigning some weight based on relative contribution, the index can calculate financial sector instability. However, Arzamasov and Penikas () argue that although PCA has the advantage of combining a set of information, it complicates the analysis by adding too many negative weights. Further, time‐varying dynamics are neglected while assigning weights to each component.…”

Section: Measuring Financial Stability In Asian Countriesmentioning

confidence: 99%

Monetary Policy and Financial Stability: The Role of Inflation Targeting

Sethi¹,

Acharya²

2019

Australian Economic Review

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This article examines the relationship between Inflation targeting (IT) and financial instability from 1990 to 2015 for Asian economies. To measure financial instability, a multidimensional financial conditioning index is calculated following the ECB's approach. Using a fixed effects panel data model the study finds that adoption of IT policy in Asian economies has an adverse impact on financial stability, thus rejecting the ‘conventional wisdom’ hypothesis. Further, the Vector Autoregression (VAR) result shows that an IT regime increases housing returns and encourages investors to take higher risks.

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Section: Measuring Financial Stability In Asian Countriesmentioning

confidence: 99%

Monetary Policy and Financial Stability: The Role of Inflation Targeting

Sethi¹,

Acharya²

2019

Australian Economic Review

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“…Therefore, the entropy weight-analytic hierarchy process, which can combine subjective and objective weights, is used to construct a comprehensive index of financial stability. Referring to Morales and Estrada ( 2010 ), Brave and Butters ( 2011 ), Arzamasov and Penikas ( 2014 ), Xu et al ( 2017 ), Liu et al ( 2019 ), etc., the financial stability index system is constructed by selecting nine single indicators. 2 The weight values used for the entropy weight-analytic hierarchy process are shown in Table 2 .…”

Section: Datamentioning

confidence: 99%

“…Unlike previous studies, this paper focuses on the following aspects. First, to compensate for the defects of subjective and objective weighting, we apply an entropy weight-analytic hierarchy process to construct a financial stability index, which is seldom applied in existing studies (Brave and Butters 2011 ; Arzamasov and Penikas 2014 ; Liu et al 2019 ). Second, previous scholars have only analyzed the relationships between two of the three variables (e.g., economic policy uncertainty and investor sentiment, economic policy uncertainty and financial stability and investor sentiment and financial stability), while no work has included the above three variables in a single model (Onour 2015 ; Niţoi and Pochea 2020 ).…”

Section: Introductionmentioning

confidence: 99%

Economic policy uncertainty, investor sentiment and financial stability—an empirical study based on the time varying parameter-vector autoregression model

Zhong

Qin

2021

J Econ Interact Coord

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This paper applies the time varying parameter-vector autoregression model to explore the dynamic relationship between economic policy uncertainty, investor sentiment and financial stability in China in different periods and at different time points. The empirical results show that economic policy uncertainty has an obvious negative impact on investor sentiment before 2012 and financial stability in the short term, and the influence of economic policy uncertainty on investor sentiment is greater than that of economic policy uncertainty on financial stability. These influences were more significant during the period of the global financial crisis in 2008. Moreover, investor sentiment had a positive and gradually increasing effect on financial stability, while after 2010, the positive impact gradually weakened. Furthermore, economic policy uncertainty is negatively affected by financial stability, and the effect of financial stability on investor sentiment is positive. In terms of mediating effects, economic policy uncertainty has an indirect impact on financial stability through investor sentiment and vice versa. This paper provides a new solution to economic problems explored in behavioral finance research. Additionally, Chinese government agencies can achieve the goal of preventing financial crises and maintaining financial stability by monitoring investor sentiment and implementing targeted economic policies.

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“…Such definitions are more abstract, but more inclusive of the macro-economic dimensions of financial stability and interaction between the financial and real sectors. Arzamasov and Penikas (2014) define financial stability as "a condition in which the financial system consisting of financial intermediaries, markets and its infrastructure can withstand shocks and reveal financial imbalances. Hence it can reduce the possibility of disruptions in the financial intermediation process which are severe enough to disrupt allocations savings to profitable investment opportunities significantly.…”

Section: Literature Review 21 Background Theory 211 Financiamentioning

confidence: 99%

The Resilience of Indonesian Banking System and Macroeconomic Fluctuation: Islamic Vis-À-Vis Conventional

Nugroho

Kurnia

Qoyum

et al. 2020

JIMF

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This study aims to analyze the challenges of the dual banking system during macroeconomic fluctuations. By using the default probability mapping method and macroeconomic stress testing, we can measure the stability of the financial system through credit calculation. In addition, by using the stress test method, we can find information about the characteristics of the financial system in crises and its financial-related assistance in the financial system. Considering if a financial system can detect it early, the government can take preventative measures to minimize the consequences. The results of the study show that Islamic banking has a higher default probability than conventional banking. So it can be concluded that the current stability of Islamic banking is not better than conventional banking. Our findings suggest that inflation is only a macroeconomic variable that has a high level of sensitivity to the default probability of banks. Moreover, Islamic and conventional banking have different responses to the sensitivity of inflationary interventions.

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A Financial Stability Index for Israel

Cited by 18 publications

References 2 publications

Monetary Policy and Financial Stability: The Role of Inflation Targeting

Monetary Policy and Financial Stability: The Role of Inflation Targeting

Economic policy uncertainty, investor sentiment and financial stability—an empirical study based on the time varying parameter-vector autoregression model

The Resilience of Indonesian Banking System and Macroeconomic Fluctuation: Islamic Vis-À-Vis Conventional

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