An index of financial market stress for the United Kingdom

Shaen Corbet, Cian Twomey

Abstract


We construct and develop a new financial market stress index using twenty-three headline U.K. financial data series. A logistic regression framework provides a parsimonious representation of financial market stress in the U.K. 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.


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References


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DOI: https://doi.org/10.17811/ebl.3.2.2014.127-133

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ISSN: 2254-4380