Index
Ramesh Babu Thimmaraya
(Quantitative Research & Financial Advisory Services, Ernst & Young, India)
M. Venkateshwarlu
(National Institute of Industrial Engineering (NITIE), India)
Dynamics of Financial Stress and Economic Performance
ISBN: 978-1-78754-783-4, eISBN: 978-1-78754-782-7
Publication date: 28 September 2018
This content is currently only available as a PDF
Citation
Thimmaraya, R.B. and Venkateshwarlu, M. (2018), "Index", Dynamics of Financial Stress and Economic Performance, Emerald Publishing Limited, Leeds, pp. 175-183. https://doi.org/10.1108/978-1-78754-782-720181011
Publisher
:Emerald Publishing Limited
Copyright © 2018 Emerald Publishing Limited
INDEX
Adverse feedback loop
, 4
Asset bubble growth
global banking system
, 138–141
global bond markets
, 141–144
global stock markets
, 135–138
Asset prices
, 5–9, 18, 20, 24, 25, 78
Australia
, 33
bond market in
, 34–36
banking system in
, 34, 79
during the boom period (2000–2007)
, 151
currency
, 33, 34, 36
economic demand in
, 156
financial market stress
, 33
banking stress
, 34
bond market stress
, 34–35
components
, 34
forex market stress
, 33–34
stock market stress
, 34
Financial Stress Analytics
, 36
Financial Stress Index (FSI)
, 35
financial system credit analysis in
, 79
household debt
, 154
interaction of financial and economic system in
, 101
linear causal patterns in
, 99–100
multivariate analysis
, 100–102
number of causal relationships in
, 100
postcrisis period
, 145, 147
Bank for International Settlements (BIS)
, 17, 29
Banking credit expansion and economic growth
, 139
Banking system risk multiplier
, 95
Bankruptcy laws
, 141
Bayesian VAR (BVAR) model
, 24
Bitcoins
, 163–164
Block chain technology
, 164
Bloomberg
, 17
Bond market leverage
, 78, 89, 91, 141, 143
Bond market risk
, 75
Bond market stress
, 28, 34–35, 38, 41, 44, 48, 51, 54, 57, 60–61, 64, 67, 70, 74, 75, 98, 141, 142, 143
Brazil
, 36
financial market stress
, 36
banking stress
, 36–38
bond market stress
, 38
components
, 38
forex market stress
, 36
stock market stress
, 36
Financial Stress Analytics
, 38–39
Financial Stress Index (FSI)
, 38
financial system credit analysis in
, 79–80
growth of housing bubble in
, 156
interaction of financial and economic system in
, 104
linear causal patterns in
, 102
multivariate analysis
, 104
multivariate patterns in
, 103–105
number of causal relationships in
, 103
Brute force method
, 167
CAB (current account balance)
, 30, 154, 155, 156, 157, 159
Canada
, 39
during the boom period (2000–2007)
, 152
financial and economic system interaction in
, 106
financial market stress
, 39
banking stress
, 41
bond market stress
, 41
components
, 41
forex market stress
, 39
stock market stress
, 39–41
Financial Stress Analytics
, 42
Financial Stress Index (FSI)
, 41–42
financial system credit analysis in
, 80–81
GDP growth during the post-crisis period
, 156
household demand
, 147
linear causal patterns in
, 105
multivariate analysis in
, 107
multivariate patterns in
, 105–107
number of causal relationships in
, 106
Central Banks
, 13, 14, 15, 160
China
, 42
causal patterns in
, 107
credit expansion during the post-crisis period
, 139–140
financial and economic system interaction in
, 109
financial market stress
, 42
banking stress
, 44
bond market stress
, 44–45
components
, 46
forex market stress
, 42–44
stock market stress
, 44
Financial Stress Analytics
, 45–47
Financial Stress Index (FSI)
, 45
financial system credit analysis in
, 81–82
GDP
, 147
GDP growth, during the boom period (2000–2007)
, 152
HHD during the post-crisis period
, 156
household demand
, 147
multivariate analysis in
, 109
multivariate patterns in
, 107–109
number of causal relationships in
, 108
social spending
, 163
Citigroup
, 17
Composite indicator of systemic stress (CISS)
, 22, 24
Counter-cyclical regulations
, 141
Credit contractions
, 7
Credit crunch
, 7, 25, 26
Credit expansion
, 138–140
Creditless recoveries
, 26
Credit weights aggregation method
, 32
Cryptocurrency dilemma
, 163–165
Cuban Missile crisis
, 9
Current stress to average stress, ratio of
, 33
Current stress to peak stress, ratio of
, 33
Current stress value
, 33
Cyber security
, 164, 165
Demand contraction
, 12
Domestic credit to banking sector (DCBS)
, 32, 78
DSGE modelling
, 22
Dynamic economic system
, 138
Dynamic factor models
, 6, 26, 27, 28
Economic boom period (2000–2007)
, 138, 141, 150–153
Economic logic
, 164
Economic uncertainty
, 166
Equity (or house) price bust
, 7
European Central Bank (ECB)
, 15
External finances
, 4, 5, 154–160
FDI (foreign direct investment)
, 30, 154, 155, 156, 157, 159
Federal fiscal policy
, 11
Federal Reserve Board
, 22, 23
Feedback variables
, 131
Fiat currencies
, 163
Financial accelerator model
, 3–5
Financial and economic shocks
dynamic interaction of
, 132
Financial and economic systems, dynamics of
, 97
data analysis and technical discussion
, 98
patterns in multivariate analysis
, 99
patterns of linear causality
, 98–99
financial shock penetration and recovery control
, 131–133
financial shocks and feedback variables
, 131
sovereign economic model risk score
, 130–131
Financial asset bubbles, dynamics of
, 135
Financial conditions indexes (FCIs)
, 18, 27
Financial market bubble
bottom risk bucket comparison
, 94
multiplier
, 95
top risk bucket comparison
, 93
Financial market leverage
, 78, 84, 89, 91, 135
Financial market stress
Australia
, 33–35
Brazil
, 36–38
Canada
, 39–41
China
, 42–45
France
, 47–48
Germany
, 49–51
India
, 52–54
Italy
, 55–57
Japan
, 58–61
Russia
, 63–64
United Kingdom
, 66–67
United States
, 68–70
Financial market stress indicator (FMSI)
, 27, 28
Financial market stress scenarios
, 31
Financial shock penetration and recovery control
, 131–133
Financial shocks
, 2, 18, 19, 23, 131, 135
Financial stress
, 1–2, 8
dynamics of
, 165–166
of individual markets
, 31–32
Financial Stress Analytics
Australia
, 36
Brazil
, 38–39, 40
Canada
, 42
China
, 45–47
France
, 49
Germany
, 51–52
India
, 55
Italy
, 58
Japan
, 61–62
Russia
, 64–66
United Kingdom
, 68
United States
, 70–71
Financial Stress Index (FSI)
, 8, 22, 26, 31, 32
Australia
, 35
Brazil
, 38
Canada
, 41–42
China
, 45
construction of
, 32
France
, 48
Germany
, 51
India
, 54–55
Italy
, 57–58
Japan
, 61
Russia
, 64
United Kingdom
, 67–68
United States
, 70
Financial stress numbers
, 32
Financial system credit analysis
, 77
in Australia
, 78–79
in Brazil
, 79–80
in Canada
, 80–81
in China
, 81–82
data analysis and technical discussion
, 77–78
in France
, 82–83
in Germany
, 83
in India
, 83–84
in Italy
, 84–85
in Japan
, 85–86
in Russia
, 86–87
in United Kingdom
, 87–88
in United States
, 88
Financial system leverage
current scenario
, 2016–2017, 91–95
during 2008 crisis
, 89–91
Financial system stress
, 2, 20, 52, 64, 135
Fixed investments growth
, 154–160
Forex market trading
, 163
France
, 47
bond market leverage after the 2008 crisis
, 143
during the economic boom period
, 152
financial and economic system interaction in
, 111
financial market stress
, 47
banking stress
, 47–48
bond market stress
, 48
forex market stress
, 47
stock market stress
, 47
Financial Stress Analytics
, 49
Financial Stress Index (FSI)
, 48
financial system credit analysis in
, 82–83
HHD during the post-financial crisis
, 157
linear causal patterns in
, 110–111
multivariate analysis in
, 112
multivariate patterns in
, 111–112
number of causal relationships in
, 110
Gaussian model
, 23
GDP growth
, 10, 18, 19, 20, 26, 28, 30, 77, 97, 102, 104, 108, 111, 112, 122, 135, 138, 143
Generalized impulse response functions (GIRF)
, 13
Germany
, 49
during the economic boom period
, 152
financial and economic system interaction in
, 114
financial market stress
, 49
banking stress
, 49–51
bond market stress
, 51
components
, 51
forex market stress
, 49
stock market stress
, 49
Financial Stress Analytics
, 51–52
Financial Stress Index (FSI)
, 51
financial system credit analysis in
, 83
HHD during the postfinancial crisis
, 156
linear causal patterns in
, 112, 113
multivariate analysis in
, 114
multivariate patterns in
, 112–114
number of causal relationships in
, 113
GFCF (gross fixed capital formation)
, 154, 155–157
GINI coefficient
, 162
Global average leverage
, 89, 91
Global banking system
, 138–141
Global bond markets
, 73, 141–144
Global economic demand, price stability and monetary analytics
, 144–150
Global economic growth and social spending paradox
, 161–163
Global economic interaction
, 167
Brute force method
, 167
sovereign profile based
, 168
Global financial crisis
, 1, 8, 13, 17, 144, 150, 152, 153
Global Financial Stability Analytics
, 73–75
Global Financial Stability Index
, 71–73
Global household demand and monetary analytics
, 146
Global money supply, economic growth, and fiscal management
, 150–153
Global stock markets
, 135–138
Goldman Sachs
, 17
Great Depression
, 1, 8, 15
Great Moderation phenomenon
, 7, 14
High-tech boom of the dot com bubble
, 1
Household and business credit growth
, 10
Household consumption data
, 144
Household debt (HHD)
, 154–160
Household expenditure growth
, 144
Housing busts
, 7, 8
Housing price bubble
, 144
Housing price dynamics
, 150
Housing price growth
, 144
100% correlation aggregation method
, 32
Income inequality
, 161–162
India
, 52
during the economic boom period
, 152
financial and economic system interaction in
, 116
financial market stress
, 52
banking stress
, 54
bond market stress
, 54
forex market stress
, 52
stock market stress
, 52–54
financial market stress components
, 54
Financial Stress Analytics
, 55
Financial Stress Index (FSI)
, 54–55
financial system credit analysis in
, 83–84
HHD during the post-financial crisis
, 157
household demand
, 148
land acquisition for economic developments
, 158
linear causal patterns in
, 115–116
multivariate analysis in
, 117
multivariate patterns in
, 116–117
number of causal relationships in
, 115
social spending
, 162
stock market
, 52, 54, 84
structural changes required for banks in
, 140–141
unemployment problem
, 158
Inflation growth
, 28, 30, 144, 145, 147, 148
International Monetary Fund (IMF)
, 17, 25, 27, 29
Internet of Things (IoT)
, 164
Italy
, 55
bond market leverage
, 141
causal patterns in
, 117
during the postfinancial crisis of
, 2008, 159
financial and economic system interaction in
, 119
financial market stress
, 55
banking stress
, 57
bond market stress
, 57
components
, 57
forex market stress
, 55
stock market stress
, 55–57
Financial Stress Analytics
, 58
Financial Stress Index (FSI)
, 57–58
financial system credit analysis in
, 84–85
multivariate analysis in
, 119
multivariate patterns in
, 117–119
number of causal relationships in
, 118
Japan
, 58
banking credit expansion
, 139–140
chronic debt problem
, 144
during the economic boom period
, 152
during the postfinancial crisis of
, 2008, 159
financial and economic system interaction in
, 121
financial market stress
, 58
banking stress
, 60
bond market stress
, 60–61
components
, 60
forex market stress
, 58–60
stock market stress
, 60
Financial Stress Analytics
, 61–62
Financial Stress Index (FSI)
, 61
financial system credit analysis in
, 85–86
linear causal patterns in
, 120
multivariate analysis in
, 122
multivariate patterns in
, 120–122
number of causal relationships in
, 121
Japan’s economy
, 159
JFK assassination
, 9
KCFSI index
, 15–17
Linear causal patterns
in Australia
, 99–100
in Brazil
, 102–103
in Canada
, 105
in China
, 107
in France
, 110–111
in Germany
, 112
in India
, 115–116
in Italy
, 117
in Japan
, 120
in Russia
, 122
in United Kingdom
, 125–126
in United States
, 126–128
Linear vector autoregression (VAR) model
, 12–13
Liquidity risk
, 16
Long-term capital management crisis
, 1, 17
Long-term good
, 138
Long-term growth
, 141
Lorenz curve approximation
, 162
Macroeconomic forecasting models
, 1
Macro-economic models
, 13, 14, 17, 167
Macro-Financial Conditions Index (MFCI)
, 19
Markov-switching VAR model
, 22–23
Monetary (fiscal) policy
, 20
Monetary policy contraction
, 24
Money as ‘numeraire’ and cryptocurrency dilemma
, 163–165
Money supply, economic growth and fiscal balance
, 151
Money-supply shocks
, 10
Multisystem dynamic analysis
, 135
Multivariate patterns
in Australia
, 100–102
in Brazil
, 102–105
in Canada
, 105–107
in China
, 107–109
in France
, 111–112
in Germany
, 112–114
in India
, 116–117
in Italy
, 117–119
in Japan
, 120–122
in Russia
, 122–125
in United Kingdom
, 126
in United States
, 128–130
Natural rate hypothesis
, 10–11
Negative money-supply shocks
, 10, 12
9/11 terrorist attacks
, 9
Nondomestic money supply
, 154
Nonlinear functional relationship
, 98
Numeraire and international currency
, 164
OPEC I oil-price shock
, 9
Organization of Economic Cooperation and Development (OECD)
, 17
Overall average stress value
, 33
Peak stress period, occurrence of
, 33
Peak stress to average stress, ratio of
, 33
Peak stress to pre-crisis stress, ratio of
, 33
Peak stress value
, 33
Personal data storage
, 165
Positive money-supply shocks
, 10, 12
Post-crisis stress
, 34–35
Precrisis stress value
, 33
Promoter moral hazard
, 140–141
Real option theory
, 3
Russia
, 63
during the economic boom period
, 153
financial and economic system interaction in
, 124
financial market stress
, 63
banking stress
, 63–64
bond market stress
, 64
forex market stress
, 63
stock market stress
, 63
Financial Stress Analytics
, 64–66
Financial Stress Index (FSI)
, 64
financial system credit analysis in
, 86–87
household demand
, 149
household expenditure
, 149
linear causal patterns in
, 122
multivariate analysis in
, 124
multivariate patterns in
, 122–125
number of causal relationships in
, 123
during the post-2008 crisis period
, 160
Short-term good
, 138
Short-term stability
, 141
SIBL (Systemically Important Bank Loans)
, 141
Social networking apps
, 165
Sovereign economic model risk score
, 130–131
Special Economic Zones
, 158
State fiscal policy
, 11
Statistical linearity
, 98
STLFSI index
, 15–17
Stock market and bank credit leverage
, 136
Stock market boom
, 86
Stock market credit growth
, 78, 88
Stock market leverage
, 78, 135, 137
Stock market leverage risk
, 95
Third-party sovereign ratings
, 158
Threshold vector autoregression (TVAR)
, 10, 13, 21, 27
Trade debt
, 154
Trading agents
, 165
Trading economic agents
, 165–166
Uncertainty shocks
, 9
United Kingdom
, 66
bond market stress
, 143
during the economic boom period
, 152
during the post-2008 crisis period
, 160
financial and economic system interaction in
, 127
financial market stress
, 66
banking stress
, 67
bond market stress
, 67
components
, 66
forex market stress
, 66
stock market stress
, 66–67
Financial Stress Analytics
, 68
Financial Stress Index (FSI)
, 67–68
financial system credit analysis in
, 87–88
household demand
, 150
linear causal patterns in
, 125–126
multivariate analysis in
, 127
multivariate patterns in
, 126
number of causal relationships in
, 126
United States
, 68
banking credit expansion
, 140
domestic debt
, 143
during the economic boom period
, 153
during the post-2008 crisis period
, 160
economy
, 140
financial and economic system interaction in
, 129
financial market stress
, 68
banking stress
, 68–70
bond market stress
, 70
components
, 70
forex market stress
, 68
stock market stress
, 68
Financial Stress Analytics
, 70–71
Financial Stress Index (FSI)
, 70
financial system credit analysis in
, 87–88
household demand
, 150
linear causal patterns in
, 126–128
multivariate analysis in
, 129
multivariate patterns in
, 128–130
number of causal relationships
, 128
Vector autoregression (VAR) model, linear
, 12
Volatility index (VIX)
, 21
Welfare spending
, 161
Workhorse model
, 4