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International Journal of Economics and Financial Issues

Yıl 2014 , Cilt 4 , Sayı 1

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Başlık :

The european financial market stress index

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Department of Economics, Finance and Accounting, National University of Ireland, Maynooth, Ireland1
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This research constructs and develops a financial stress index based on European financial markets. The integration of numerous sovereign states has created difficulty identifying stress in any one single financial component, but incorporating twenty-three headline European stress indicators across equities, bonds and currencies, in terms of both spreads and levels offer substantial explanatory benefits. The incorporation of a logistical framework specifically analysing the levels, volatility and co-movement of the included standardised series enables the creation of an index that adequately represents financial market stress in European. Using periods of pre-defined crisis in a logistic regression framework also aids the development of the index. The results provide evidence that the European-specific sovereign crises from 2010 to present, with particular emphasis on the mid- 2011 period, have significantly over-shadowed any event that the financially-integrated Europe has previously experienced.

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