Financial Stress and Economic Dynamics
Author: Kirstin Hubrich
Publisher:
Published: 2012
Total Pages:
ISBN-13:
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Author: Kirstin Hubrich
Publisher:
Published: 2012
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Ramesh Babu Thimmaraya
Publisher: Emerald Group Publishing
Published: 2018-09-28
Total Pages: 205
ISBN-13: 1787547841
DOWNLOAD EBOOKThis book primarily focuses on the dynamic relationship between the financial and the economic systems of twelve major economies in the world.
Author: Ramesh Babu Thimmaraya
Publisher: Emerald Group Publishing
Published: 2018-09-28
Total Pages: 205
ISBN-13: 1787547833
DOWNLOAD EBOOKThis book primarily focuses on the dynamic relationship between the financial and the economic systems of twelve major economies in the world.
Author: Thimmaraya
Publisher:
Published: 2018
Total Pages:
ISBN-13: 9781787547858
DOWNLOAD EBOOKAuthor: Sofiane Aboura
Publisher:
Published: 2013
Total Pages: 29
ISBN-13:
DOWNLOAD EBOOKAuthor: Ahsan Akbar
Publisher: LAP Lambert Academic Publishing
Published: 2016-01-15
Total Pages: 80
ISBN-13: 9783659826030
DOWNLOAD EBOOKThe U.S financial crises of 2008 highlighted the role of a depressed financial system in causing an economic downturn. This pioneer empirical study develops a financial stress index for the Pakistan economy during 2000-2013. We use key variables that capture unique aspect of stress in the financial system. Principal component analysis technique is used to aggregate the components to a single index. Empirical analysis reveals that banking sector and stock market volatility are the leading contributors to financial stress in Pakistan. The developed financial stress index is then used to trace high episodes of financial stress. Our index was successful in identifying three main financial crises that attacked the financial system including global financial crisis of 2008. Afterwards, the impact of financial stress on real economic activity is examined using impulse response function and Granger causality analysis. We find the expected results as high values of financial stress index are associated with decline in macroeconomic indicators. These findings will provide useful information to readers about the financial and economic dynamics of a developing economy like Pakistan.
Author: Giuseppe Orlando
Publisher: Springer Nature
Published: 2021-08-31
Total Pages: 361
ISBN-13: 3030709825
DOWNLOAD EBOOKThis interdisciplinary book argues that the economy has an underlying non-linear structure and that business cycles are endogenous, which allows a greater explanatory power with respect to the traditional assumption that dynamics are stochastic and shocks are exogenous. The first part of this work is formal-methodological and provides the mathematical background needed for the remainder, while the second part presents the view that signal processing involves construction and deconstruction of information and that the efficacy of this process can be measured. The third part focuses on economics and provides the related background and literature on economic dynamics and the fourth part is devoted to new perspectives in understanding nonlinearities in economic dynamics: growth and cycles. By pursuing this approach, the book seeks to (1) determine whether, and if so where, common features exist, (2) discover some hidden features of economic dynamics, and (3) highlight specific indicators of structural changes in time series. Accordingly, it is a must read for everyone interested in a better understanding of economic dynamics, business cycles, econometrics and complex systems, as well as non-linear dynamics and chaos theory.
Author: Martín Saldías
Publisher: International Monetary Fund
Published: 2017-08-07
Total Pages: 34
ISBN-13: 1484314220
DOWNLOAD EBOOKThis paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold Vector Autoregression (TVAR) model show that the effects of monetary policy shocks on output growth are stronger during normal times than during times of financial stress. Monetary policy shocks are effective to ease stressed financial conditions, but have limited ability to fully contain the buildup of vulnerabilities. These results have important policy implications for central banks’ countercyclical policies under different financial conditions and for “lean against the wind” policies to address financial vulnerabilities.
Author: Hites Ahir
Publisher: International Monetary Fund
Published: 2023-10-20
Total Pages: 132
ISBN-13:
DOWNLOAD EBOOKThis paper uses text analysis to construct a continuous financial stress index (FSI) for 110 countries over each quarter during the period 1967-2018. It relies on a computer algorithm along with human expert oversight and is thus easy to update. The new indicator has a larger country and time coverage and higher frequency than similar measures focusing on advanced economies. And it complements existing binary chronologies in that it can assess the severity of financial crises. We use the indicator to assess the impact of financial stress on the economy using both country- and firm-level data. Our main findings are fivefold: i) consistent with existing literature, we show an economically significant and persistent relationship between financial stress and output; ii) the effect is larger in emerging markets and developing economies and (iii) for higher levels of financial stress; iv) we deal with simultaneous causality by constructing a novel instrument—financial stress originating from other countries—using information from the text analysis, and show that, while there is clear evidence that financial stress harms economic activities, OLS estimates tend to overestimate the magnitude of this effect; (iv) we confirm the presence of an exogenous effect of financial stress through a difference-in-differences exercise and show that effects are larger for firms that are more financially constrained and less profitable.
Author: J. Doyne Farmer
Publisher: Cambridge University Press
Published: 2022-04-14
Total Pages: 730
ISBN-13: 1108906079
DOWNLOAD EBOOKStress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial crises. When financial crises hit, stress tests take center stage. Despite their centrality to public policy, the optimal design and use of stress tests remains highly contested. Written by an international team of leading thinkers from academia, the public sector, and the private sector, this handbook comprehensively surveys and evaluates the state of play and charts the innovations that will determine the path ahead. It is a comprehensive and interdisciplinary resource that bridges theory and practice and places financial stress testing in its wider context. This guide is essential reading for researchers, practitioners, and policymakers working on financial risk management and financial regulation.