AUROC

A financial stress index for South Africa: A time-varying correlation approach

This paper develops a new index of financial market stress for South Africa (SAFSI) over the period 1995-2017, that has the advantage of capturing the interconnectedness of financial markets as well as enabling each indicator to be assessed in terms of its systemic importance. The index represents a technical improvement over past measures as it is comprised of financial indicators that have been selected based on their ability to capture key periods of financial stress in the economy.

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