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首页> 外文期刊>Journal of Financial Economic Policy >Evaluating financial stress indicators: evidence from Indian data
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Evaluating financial stress indicators: evidence from Indian data

机译：评估财务压力指标：来自印度数据的证据

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Purpose - The purpose of this study is to assess alternative financial stress indicators for India in terms of tracing crisis events, mapping with the business cycle and the macroeconomic effect of stress indices. Design/methodology/approach - The study constructs the composite indicator of systemic stress of Hollo, Kremer and Lo Duca (2012) for India using two different methods for computing time-varying cross-correlation matrix, namely, exponentially weighted moving average (EWMA) and dynamic conditional correlation-generalized autoregressive conditional heteroscedasticity (DCC-GARCH). The derived indices are evaluated with widely used, equal variance and principal component weighting indices in terms of tracing stress events, mapping with the business cycles and the macroeconomic effect. For this purpose, the study identifies various episodes of financial stress and uses the business cycle dates in the sample covering from January 2001 to October 2018. Findings - The results suggest that stress indices based on EWMA and DCC-GARCH accurately identify the well-known stress periods and capture the recession dates and show an adverse effect on economic activity. Primarily, the DCC-GARCH-based stress index emerges as a better indicator of stress because it efficiently locates all the major-minor events, traces the build-up of stress and reverts to the normal level during stable times. Practical implications - The DCC-GARCH-based stress index is a very useful indicator for policymakers in regularly monitoring India's financial conditions and providing timely identification of systemic stress to avoid adverse repercussion effects of the financial crisis. Originality/value - The 2007-2008 financial crisis and subsequent recurrent instability in the financial markets highlighted the requirement for an appropriate financial stress indicator for a timely assessment of the system-wide financial stress. To the authors' knowledge, this is the first study that incorporates the systemic nature of financial stress in the construction of stress indices for India and provides a holistic evaluation of the financial stress from an emerging country's perspective.
机译：目的 - 本研究的目的是根据追踪危机事件，用商业周期和压力指数的宏观经济效果来评估印度的替代金融压力指标。设计/方法/方法 - 该研究用两种不同方法计算霍洛，克雷默和Lo Duca（2012）的系统应力的综合指标，用于计算时变互相关矩阵，即指数加权移动平均（EWMA）和动态条件相关 - 广义自回归条件异染性（DCC-GARCH）。在跟踪应力事件的追踪应力事件方面，使用商业周期和宏观经济效果进行广泛使用的，等同的方差和主要组件加权指数，评估派生指数。为此目的，该研究确定了各种财务压力剧集，并在2001年1月至2018年10月的示例中使用了商业周期日期。结果表明，基于EWMA和DCC-GARCH的压力指数准确地识别了众所周知的压力期并捕获经济衰退日期，并对经济活动表现出不利影响。主要是，基于DCC-GARCH的应力指数作为更好的压力指标，因为它有效地定位所有主要次要事件，追溯压力的积累，并在稳定的时间内恢复到正常水平。实际意义 - 基于DCC-GARCH的应力指数是针对规范监测印度的财务状况的政策制定者的一个非常有用的指标，并提供及时识别系统压力，以避免金融危机的不良反响效应。原创性/价值 - 2007-2008金融市场的金融危机及随后的经常性不稳定突出了适当的财务压力指标要求及时评估全系统的财务压力。对于作者的知识，这是第一项研究，其中融入了金融压力的系统性质，在印度的压力指数建设中，并从新兴国家的角度提供了对财务压力的整体评价。

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