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16 June 2021 Research Supervision label Working Papers

This paper develops a Financial Stress Index (FSI) for 28 OECD countries and examines its relationship to crises using a novel database for financial crises. A stress index measures the current state of stress in the financial system and summarizes it in a single statistic. Our results suggest that even though our FSI is clearly related to the occurrence of crises, there is only a weak relationship between the FSI and the onset of a crisis, notably the onset of a banking crisis. Policymakers should therefore be aware of the limited usefulness of FSIs as an early warning indicator.
Keywords: financial stress index, financial crises, developed countries, early warning indicators.
JEL-classifications: E5, G10.

Working paper no. 469

469 - Financial stress indices and financial crises



  • Robert Vermeulen
  • Marco Hoeberichts
  • Bořek Vašíček
  • Diana Žigraiová
  • Kateřina Šmídková
  • Jakob de Haan