Financial Stress, Downturns, and Recoveries

The Transmission of Financial Stress from Advanced to Emerging Economies

“…This is the first such measure providing comparable highfrequency data on stress for emerging economies. It builds on the methodologies used to construct a financial stress index for advanced economies (AE-FSI) proposed by Cardarelli, Elekdag, and Lall (2009). The two indices are available for download in conjunction with this study.…”

“…To answer these questions, the paper employs a new financial stress index for emerging economies, building on an index created for advanced economies by Cardarelli, Elekdag, and Lall (2009). The index captures financial market developments in a variety of financial markets and provides a snapshot of credit conditions and is available for download along with this study.…”

New Evidence About The Relation Between Credit Availability And Investments Contraction During Systemic Banking Crises

“…The phenomenon of banking crises during recent years has taken on an intensity not negligible, with significant effects interesting not only the banks stability, but the entire economic and financial system (Demirgüc-Kunt, Detragiache, 1998; Dell 'Ariccia et al, 2008;Cardarelli et al, 2009). By this meaning, a condition of widespread crisis in the banking sector is often accompanied by an interruption of the normal functioning of the payment system, a sharp contraction of credit extended to the production system and a crisis of confidence among depositors with possible capital outflows (Kaminsky, Reinhart, 1999;Hoggart et al, 2002).…”

India: Selected Issues Paper

“…See alsoChudik and Pesaran (2014) for a survey on theory and practice of GVAR modeling.3 The FSI for advanced countries is constructed byCardarelli et al (2009) as an average of the following indicators: the "beta" of banking sector stocks; TED spread; the slope of the yield curve; corporate bond spreads; stock market returns; time-varying stock return volatility; and time-varying effective exchange rate volatility. Such an index facilitates the identification of large shifts in asset prices (stock and bond market returns); an abrupt increase in risk/uncertainty (stock and foreign exchange volatility); liquidity tightening (TED spreads); and the health of the banking system (the beta of banking sector stocks and the yield curve).©International Monetary Fund.…”