A Financial Systemic Stress Index for Greece

Louzis, Dimitrios P.; Vouldis, Angelos T.

doi:10.2139/ssrn.1736570

Cited by 24 publications

(19 citation statements)

References 34 publications

(36 reference statements)

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“…Next, we estimate univariate panel logit-models that explain the occurrence of a crisis (dummy variable is 1 if there is a crisis and 0 if not) by the one-period lag of the financial stress (sub-)indices and a country-fixed effect (see also Louzis and Vouldis 2013). 5 The results of the panel logit regressions as shown in Table 3 generally confirm results of the correlation analysis.…”

Section: Univariate (Panel) Logit-regressionssupporting

confidence: 54%

“…Louzis and Vouldis (2013) develop a systemic financial stress index for Greece. By comparing it with the results of an internal survey conducted within the Bank of Greece to determine the most stressful events for the Greek financial system, they evaluate their index based on its ability to match the results of the survey.…”

Section: Overview Of Financial Stress Indicesmentioning

confidence: 99%

“…Therefore, when there is a negative term spread-that is a negative sloping yield curve-bank profitability is seriously jeopardized.^(p. 80). One of the few studies considering sovereign risk is Louzis and Vouldis (2013) who use the spread of Greek and German government bonds. In our index, we take the US as benchmark, which implies that this indicator is zero for the US.…”

Section: Financial Stress Indexmentioning

confidence: 99%

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Financial Stress Indices and Financial Crises

et al. 2015

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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.

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Section: Univariate (Panel) Logit-regressionssupporting

confidence: 54%

Section: Overview Of Financial Stress Indicesmentioning

confidence: 99%

Section: Financial Stress Indexmentioning

confidence: 99%

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Financial Stress Indices and Financial Crises

et al. 2015

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“…High interest rates on government debt may crowd out the effects of fiscal policy on the economy and subsequently increase financial stress (Louzis and Vouldis, 2013). The German Bund, or the long-term German bond, is commonly used as a benchmark because of its low credit risk premium and liquidity; moreover, the Czech economy is closely linked to Germany.…”

Section: -Year Czech Government Bond and German Bund Spreadmentioning

confidence: 99%

Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy

Malega¹,

Horváth²

2017

Prague Economic Papers

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We estimate a financial stress index for the Czech Republic and examine its development during the 2002-2014 period. We find a marked increase in financial stress at the beginning of the global financial crisis with a decrease to nearly pre-crisis levels by the end of our study period. Next, we estimate vector autoregression models of the Czech economy and find that financial stress has systematic effects on output, prices and interest rates, with the maximum response occurring approximately one and a half years after the shock. Specifically, an increase in financial stress is associated with higher unemployment, lower prices and lower interest rates, indicating its detrimental effects on the real economy.

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“…1 According to Louzis and Vouldis (2013), systemic risk is "the risk of an extensive financial instability that causes the disfunctioning of a financial system to the point where economic growth and welfare suffer materially. "…”

Section: Endnotesmentioning

confidence: 99%

Contagion and interdependence in Eurozone bank and sovereign credit markets

2018

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This paper focuses on the nature of co‐movement of credit risk measured by credit default swap spreads in both banking and sovereign sectors within EMU. We test for contagion and/or interdependence across countries and across banks under the prism of the Eurozone's Financial Stability Pact. Our main results on financial stability show mostly interdependence within EMU, as expected. In contrast, contagion has only been found in some cases, the determinants of which are attributed to political risk and market risk factors.

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A Financial Systemic Stress Index for Greece

Cited by 24 publications

References 34 publications

Financial Stress Indices and Financial Crises

Financial Stress Indices and Financial Crises

Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy

Contagion and interdependence in Eurozone bank and sovereign credit markets

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