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شاخص استرس مالی
Louis Fed Financial Stress Index (FSI) to capture the impact that system stress might have on bank soundness.
There is a significant positive relation between bank soundness and changes in the previous period financial stress index.
(non-significant) relation between the financial stress index and bank soundness, which might suggest that when the financial system receives a negative hit, this negative shock is transmitted to the banks.
∆FSI: Change in the St Louis Financial Stress index (%); LIQ: Bank's liquidity ratio=Net Loan/(Deposits + Short-term debts); EFF: Bank's efficiency ratio=Operational revenue/Operational cost; SIZE: Bank's size=log(Total assets); EXLEND: Bank's excessive lending (relatively to average sample); ∆MP: Change in the Fed effective interest rate; The dummy variable "UNC" take the value 1 between 2009q1 and 2015q4, and 0 otherwise and refers to a period of unconventional monetary policy measures.
When the system receives a negative hit, the banks tend to behave cautiously, leading to a reduction of their risk in the next period, shown by the positive relation between the change in the FSI at t-1 and the bank Z-score at time t.
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