Title

Constructing a financial stress index for Vietnam : an application of autoregressive conditional heteroskedastic models

Document Type

Book chapter

Source Publication

Econometrics for financial applications

Publication Date

1-1-2018

First Page

562

Last Page

583

Publisher

Springer Verlag

Abstract

This paper constructs an index to measure financial stress for Vietnam with monthly data from April 2007 to December 2016. Various measures of stress are selected based on literature and Vietnam’s practice. An important stress measure, the volatility of stock market, bond market, money market and banking sector, is estimated by variants of the general autoregressive conditional heteroskedasticity (GARCH) model. Individual stress variables are combined together to make an aggregate index using equal variance weighting scheme. The constructed index is a useful tool for policy makers to monitor the riskiness of domestic financial system as well as academics to conduct further research about financial crisis.

DOI

10.1007/978-3-319-73150-6_45

Print ISSN

1860949X

E-ISSN

18609503

Publisher Statement

Copyright © 2018, Springer International Publishing AG. Access to external full text or publisher's version may require subscription.

Additional Information

ISBN of the source publication: 9783319731490

Full-text Version

Publisher’s Version

Recommended Citation

Duc, N. C., & Ho, T. A. (2018). Constructing a financial stress index for Vietnam: An application of autoregressive conditional heteroskedastic models. In L. H. Anh, L. S. Dong, V. Kreinovich, & N. N. Thach (Eds.), Econometrics for financial applications (pp. 562-583). Germany: Springer Verlag. doi: 10.1007/978-3-319-73150-6_45

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