A Financial Stress Index for Ukraine
a National Bank of Ukraine, Kyiv, Ukraine
b The World Bank, Vienna Financial Sector Advisory Centre (FinSAC), Vienna, Austria
Abstract

In this paper, we develop a daily Financial Stress Index (FSI) for the comprehensive quantitative measurement of the degree of stress in Ukraine’s financial system. We use 14 individual indicators grouped into four sub-indices – the banking sector, corporate debt, government debt, and the foreign exchange market – to construct the FSI. The index measures the level of stress and vulnerability of the financial sector and enables to compare this level at current moment with its dynamic in the past. The FSI can signal the start of a financial crisis and can be used to assess the effectiveness of anti-crisis measures.

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Avaliable online 25 June 2017
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Cite as: Tyshchenko, L., Csajbok, A. (2017). A Financial Stress Index for Ukraine. Visnyk of the National Bank of Ukraine, 240, 5-13. https://doi.org/10.26531/vnbu2017.240.005
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