Details

Autor(en) / Beteiligte

• Episkopos, Ioannis

Titel

Financial Stress Index Construction: The Case of Greece

Ort / Verlag

ProQuest Dissertations & Theses

Erscheinungsjahr

2024

Link zum Volltext

• ProQuest

Quelle

ProQuest Dissertations & Theses A&I

Beschreibungen/Notizen

• This thesis develops and evaluates a Financial Stress Index (FSI) for Greece. The FSI is constructed using market-based variables that correspond to five segments of the Greek financial markets, namely, the money market, and bank, equity, bond, and foreign exchange markets. The variables are aggregated via the variance-equal weight method and transformed via the logistic sigmoid function to form a gauge of financial stress scaled from 0 to 1. Using observations from the past 22 years, our index covers the entire era of Greek participation in the eurozone. Furthermore, its daily frequency facilitates its use for responsive policy decisions in the rapidly changing financial environment that characterizes emerging markets, particularly in the European periphery. By validating the constructed FSI against known periods of financial stress, we conclude that it performs well in identifying major individual stress events.