We develop a daily composite index of financial stress for the United Kingdom over 50 years, the UKFSI. The index includes market stress indicators based on their incremental information to capture financial crises. During the COVID-19 crisis, financial stress peaks but remains less severe than during the Global Financial Crisis. The UKFSI is used in a threshold vector autoregression to differentiate the economic dynamics between tranquil and stressful periods. We highlight the importance of nonlinearities that amplify shocks. But we find no evidence of financial shocks contributing to the COVID-19 crisis, possibly reflecting effective policy interventions.

中文翻译：

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英国的系统性金融压力和宏观经济放大*

我们制定了英国 50 年金融压力的每日综合指数，即 UKFSI。该指数包括基于其增量信息的市场压力指标，以捕捉金融危机。在 COVID-19 危机期间，金融压力达到顶峰，但仍没有全球金融危机期间那么严重。UKFSI 用于阈值向量自回归，以区分平静时期和压力时期之间的经济动态。我们强调放大冲击的非线性的重要性。但我们没有发现金融冲击导致 COVID-19 危机的证据，这可能反映了有效的政策干预。