Measuring financial stress in transition economies

Çevik, Emrah İsmail; Dibooğlu, Sel; Kutan, Ali M.

doi:10.1016/j.jfs.2012.10.001

Cited by 83 publications

(48 citation statements)

References 40 publications

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“…Financial stress indices have been constructed for one country (e.g., Illing and Liu 2006;Hakkio and Keeton 2009;Morales and Estrada 2010;Holló 2012) or for several countries (e.g., Holmfeldt et al 2009;Cardarelli et al 2011;Slingenberg and de Haan 2011;Holló et al 2012;Cevik et al 2013;Islami and Kurz-Kim 2013). In general, stress indices for a single country combine more indicators into one statistic than multicountry stress indices (see Table 6 in the Appendix for a comparison of several stress indices; for a more extensive comparison we refer to Kliesen et al 2012).…”

Section: Overview Of Financial Stress Indicesmentioning

confidence: 99%

“…Furthermore, recessions associated with bankingrelated financial stress tend to last at least twice as long as recessions which are not preceded by financial stress. Likewise, Cevik et al (2013) employ a financial stress index for Bulgaria, the Czech Republic, Hungary, Poland, and Russia to examine the relationship between financial stress and economic activity. Their impulse response functions based on bivariate VARs show a significant relationship between financial stress and some measures of economic activity.…”

Section: Overview Of Financial Stress Indicesmentioning

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: Overview Of Financial Stress Indicesmentioning

confidence: 99%

Section: Overview Of Financial Stress Indicesmentioning

confidence: 99%

Financial Stress Indices and Financial Crises

et al. 2015

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“…In this regard our research is complementary to the work that measures financial distress at an aggregate level (Cevik et al, 2013;Cardarelli et al, 2011;Illing and Liu, 2006). Due to a lack of observations, we cap the index at 4.…”

Section: Datamentioning

confidence: 99%

“…We also link debt overhang to an index of financial distress which combines the aforementioned variables. In this vein, our work is linked to the research which measures financial distress and its interaction with credit volumes at the country level (Cevik et al, 2013;Cardarelli et al, 2011;Illing and Liu, 2006). To our knowledge, this is the first study that considers the effect of debt overhang on SME performance in a post-crisis setting.…”

Section: Introductionmentioning

confidence: 99%

SME recovery following a financial crisis: Does debt overhang matter?

Lawless

OʼConnell²,

O’Toole

2015

Journal of Financial Stability

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may Martina Lawless, Brian O'Connell and Conor O'TooleAbstract: The years before the financial crisis saw a dramatic build-up in private debt levels in several countries and this increase was particularly marked in Ireland. In this paper, we look at whether outstanding debt taken out by small and medium sized enterprises in Ireland constrains current performance. We find that the level of debt is generally associated with positive firm performance, facilitating growth and investment. Higher debt burdens (measured as the ratio of debt to turnover), on the other hand, have significant negative effects on all measures of firm performance, in particular investment, employment and indicators of financial distress.Corresponding Author: Martina.Lawless@esri.ie ESRI working papers represent un-refereed work-in-progress by researchers who are solely responsible for the content and any views expressed therein. Any comments on these papers will be welcome and should be sent to the author(s) by email. Papers may be downloaded for personal use only.

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“…The econometric test of unit root, the Granger causality test and VAR modelling as proposed in Cevik et al (2012) and Cevik et al (2013) are restricted with the number of observations. Constructing the FSI based on monthly data from the early 1990s would provide a sufficient sample.…”

Section: Fsi As An Leading Indicatormentioning

confidence: 99%

Measuring Financial Stress and Economic Sensitivity in CEE Countries

2014

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The CASE Network is a group of economic and social research centers in Poland, Kyrgyzstan, Ukraine, Georgia, Moldova, and Belarus. Organizations in the network regularly conduct joint research and advisory projects. The research covers a wide spectrum of economic and social issues, including economic effects of the European integration process, economic relations between the EU and CIS, monetary policy and euro-accession, innovation and competitiveness, and labour markets and social policy. The network aims to increase the range and quality of economic research and information available to policy-makers and civil society, and takes an active role in on-going debates on how to meet the economic challenges facing the EU, post-transition countries and the global economy. Terms of use: Documents in

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Measuring financial stress in transition economies

Cited by 83 publications

References 40 publications

Financial Stress Indices and Financial Crises

Financial Stress Indices and Financial Crises

SME recovery following a financial crisis: Does debt overhang matter?

Measuring Financial Stress and Economic Sensitivity in CEE Countries

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