Measuring financial stress in a developed country: An application to Canada

By M. Illing, Ying Liu. 2006

561 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/503f1254b499da918c5c75cb7514885babf427e9

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Citations in the corpus

Determinants of Financial Stress in Emerging Market Economies (2014, unknown): “Since the pioneering work of Illing and Liu (2006) – who defined financial stress as episodes where economic agents are subjected to extreme uncertainty and varying expectations of loss in financial markets – other authors developed their own versions of FSI, including Hakkio and Keeton (2009) for…”
CISS - A Composite Indicator of Systemic Stress in the Financial System (2012, unknown): “Illing and Liu (2006) is a seminal paper in this strand of literature.”
Diagnosing the Financial System: Financial Conditions and Financial Stress (2012, methodology): “The latter two crises are the singular focus of Laeven and Valencia (2008, 2010) and Reinhart and Rogoff (2009), as each is concerned primarily with periods characterized by substantial bank failures. We focus on the dating convention of Laeven and Valencia (2010) for the U.S. crises, as it differs ”
Assessing systemic risks and predicting systemic events (2013, background): “15 Several indices for the measurement of financial tensions have been developed in recent years, examples are Illing and Liu (2006), Misina and Tkacz (2009), and Hakkio and Keeton (2009).”
Towards an operational framework for financial stability : "fuzzy" measurement and its consequences (2009, unknown): “Tkacz (2008), who forecast the Canadian stress index developed by Illing and Liu (2006) (see the”
A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector (2010, unknown): “See also Illing and Liu (2006), Blank et al. (2009), Rodriguez and Trucharte (2007), Castrén et al. (2010) and Cardarelli et al. (2011).”
Coronavirus and Oil Price Crash (2020, unknown): “Illing and Liu (2006) notice that oil price shocks correspond to picks in the financial stress index for Canada, and formally test this relationship.”
The Crisis in the Foreign Exchange Market (2009, unknown): “3 See also Illing and Liu (2006).”
The Transmission of Financial Stress from Advanced to Emerging Economies (2009, background): “Financial stress tends to be associated with at least four fundamental characteristics: large shifts in asset prices, an abrupt increase in risk and/or uncertainty, liquidity droughts, and concerns about the health of the banking system. The events affecting financial market conditions can be varied”
Dating systemic financial stress episodes in the EU countries (2017, background): “In addition, one could weight the stress on each market segment by the associated credit share (Illing and Liu, 2006) or the estimated impact on the real economy (Hollo et al.”
Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty (2018, background): “These “aggregate” financial stress indices are constructed for one country (e.g. Illing and Liu, 2006) or for several countries (e.g. Balakrishnan et al, 2011; Cardarelli et al., 2011; Cevik et al., 2013).”