ABSTRACT

This article develops a new index to monitor financial stability in South Africa over the period 1995–2017. Rather than selecting indicators based on deemed relevance, the novelty of our index lies in the selection and aggregation of financial indicators based on their incremental informational content, achieving the best balance between parsimony and efficacy. In addition, market sub-indices are weighted by time-varying cross-correlations among them, enabling the financial stress measure to focus on the systemic dimension of financial stress. While capturing the key episodes of financial stress in South Africa, the index also successfully captures other global and idiosyncratic risks that affect the financial markets in the country. Threshold vector autoregression models based on the full sample and sub-samples reveal nonlinearities and time-variation in the transmission of a financial shock to the real economy.

摘要

本文开发了一个新的指数来监控1995-2017年间南非的金融稳定。我们的索引的新颖性在于，不是基于公认的相关性来选择指标，而是在于基于其增量信息内容来选择和汇总财务指标，从而在简约性和功效之间实现最佳平衡。此外，市场子指数之间的时变互相关性对其进行加权，使财务压力指标能够专注于财务压力的系统维度。在捕获南非金融压力的关键事件时，该指数还成功捕获了影响该国金融市场的其他全球性和特殊风险。