جستجوی مقالات مرتبط با کلیدواژه « financial stress index » در نشریات گروه « اقتصاد »

Stress in financial markets is defined as the force influencing the behavior of economic agents in the form of uncertainty and changing expectations, the critical values ​​of which are called financial crisis. Increasing oil revenues may have positive effects on aggregate supply through increased investments, especially public sector investment, as well as the import of capital and intermediate goods and the introduction of new technologies. An increase in the value of the national currency, which can result from a positive oil shock, actually lowers the price of imported capital and intermediate goods. Due to the importance of discussing Financial Stress Index and its relationship with economic variables affecting countries in this study with the aim of investigating the transfer of fluctuation of Financial Stress Index on macroeconomic indicators of  selected OPEC member countries, this issue has been studied. In this research, using multivariate GARCH models, BEKK and VAR models, the research hypotheses have been tested and analyzed. The data of the present study have been reviewed daily during the years 2010 to 2020. The results of the study indicate that the Financial Stress Index causes a surge in interest rates, liquidity and inflation in Iran, Kuwait and Qatar.

Today, with the development of the communication infrastructure and the interconnection of different financial markets, the importance of financial system stability has become more and more important. This is important to monitor and control the various financial markets and to avoid instability and crisis in the financial system as well as to prevent the devastating impact of the financial crisis on the real sector of the economy. To this end, in recent years, by combining financial market indices, researchers have devised a comprehensive index to illustrate the overall status of the financial system with respect to the degree of risk, instability, and resilience available to the financial system. Significantly, the lack of such an indicator is in line with the conditions of the Iranian financial system, indicating the situation of stress in order to describe the conditions of the financial system to achieve financial stability. In this study, by determining the dimensions of the Iranian financial system and selecting the risk and volatility indicators in different financial markets and combining them, we designed an index designated as the stress index of the Iranian financial system. After combining the obtained variables with equal weighting method, we have analyzed the designed index and we have concluded that the periods between the end of 1391 to the end of 1394 also the end of 1396 to the middle of 1397 are the stressful periods in the Iranian financial system. In addition, by examining the factors affecting this index, we have found that the greatest impact on stress in the Iranian financial system was related to the shocks caused by the producer price index.