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
Language
English
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
