![]() ![]() In general, current research is related to one or more relevant factors when considering systemic risk: size, interconnectedness, lack of substitutes and concentration, lack of transparency, leverage, market participant behaviour, information asymmetry and moral hazard. There have been many and various studies looking at some aspect of systemic risk in recent years. One of the main lessons of this process was the recognition of the role that both banking and securities regulators had to play in this area. There was also a revision to the definition of systemic risk published by international institutions (IMF, FBS, BIS and IOSCO). Following the crisis, authorities and financial supervisors realized that the identification of systemic risks deserved more attention. The global economic and financial crisis that many economies suffered after the collapse of Lehman Brothers in 2008 highlighted the importance of systemic risk. The study analyses the ability of the FMSI to identify past periods of high financial stress and presents two econometric approaches with the aim of classifying observations into different stress regimes and of determining if financial stress has a negative impact on the real economy. The methodology takes into account time-varying correlations between market segments. This indicator, which represents a real-time measure of systemic risk, tries to quantify stress in the Spanish financial system and describes the contribution of each financial market segment (bond market, equity market, money market, financial intermediaries, forex markets and derivatives) to the total stress in the system. (2012) proposed for the euro area as a whole. This paper introduces a Spanish Financial Market Stress Indicator (FMSI), similar to the “Composite Indicator of Systemic Stress” that Holló et al. ![]() Supervisors and regulators recognized the need to improve the process of identification, management and mitigation of systemic risk. The relevance of systemic risk was highlighted by the economic and financial crisis starting in mid-2007. ![]()
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