Corbet, Shaen and Twomey, Cian (2014) An index of financial market stress for the United Kingdom. Economics and Business Letters, 3 (2). pp. 127-133. ISSN 2254-4380
Abstract
We construct and develop a new financial market stress index using twenty-three headline UK financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the UK based on the market dynamics around the time of Bank of England crisis-alleviating economic interventions. Our results present clear evidence that the Bank of England’s swift and decisive actions stemmed financial market stress as measured by the stress index.
Metadata
| Item Type: | Article (Published) |
|---|---|
| Refereed: | Yes |
| Uncontrolled Keywords: | financial crises; financial markets; financial stress indicator; UK |
| Subjects: | Business > Finance |
| DCU Faculties and Centres: | DCU Faculties and Schools > DCU Business School |
| Publisher: | Oviedo University Press |
| Official URL: | http://dx.doi.org/10.17811/ebl.3.2.2014.127-133 |
| Copyright Information: | © 2014 Oviedo University Press |
| Use License: | This item is licensed under a Creative Commons Attribution-NonCommercial-Share Alike 3.0 License. View License |
| ID Code: | 21728 |
| Deposited On: | 10 Mar 2017 16:45 by INVALID USER. Last Modified 19 Jul 2018 15:10 |
Documents
Full text available as:
Preview |
PDF
- Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
348kB |
Metrics
Altmetric Badge
Dimensions Badge
Downloads
Downloads
Downloads per month over past year
Archive Staff Only: edit this record