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Conference Paper
Corbet, C. Twomey, C.
2016
Unknown
An index of financial market stress for the United Kingdom
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In Press
0
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Financial markets, Stress index
An index of financial market stress for the United Kingdom
We construct and develop a new financial market stress index using twenty-threeheadline U.K. financial data series. A logistic regression framework provides aparsimonious representation of financial market stress in the U.K. based on themarket dynamics around the time of Bank of England crisis-alleviating economicinterventions. Our results present clear evidence that the Bank of Englandís swiftand decisive actions stemmed financial market stress as measured by the stressindex.
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