Stress finanziario sistemico: Un indicatore composito per l’area BRIC

Luigi Mersico

Abstract


The article proposes a new financial stress indicator for the BRIC area using data from 1997 to 2015. The composite indicator is the synthesis of three underlying indicators for the stock market; exchange rates market and the debt market.  Empirical analysis shows that the indicator is able to capture the major financial stress episodes that have characterized the economies under analysis.


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DOI: http://dx.doi.org/10.14276/1971-8357.645

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