IMF-金融压力与经济活动：来自一个新的全球指数的证据（英）-2023.10-132页_3mb

Summary of Financial Stress and Economic Activity: Evidence from a New Worldwide Index

This paper introduces a new continuous financial stress index (FSI) constructed using text analysis of Economist Intelligence Unit (EIU) country reports for 110 countries from 1967 to 2018. The index measures both frequency and intensity of financial stress episodes.

Key Methodological Features:

• Uses a computer algorithm with human oversight
• Extends coverage and frequency beyond previous measures (0.9 correlation with Romer-Romer index)
• Captures both occurrences and severity of financial stress

Main Findings:

1. Economic Effects: One standard deviation increase in FSI reduces output by 0.35% one year after the shock, and by 0.2% five years after
2. Heterogeneity:
   • Effects are larger in emerging markets
   • Nonlinear relationship: stress impacts output more severely at higher intensity levels
   • External financial stress episodes (foreign originated) have significant negative impact
3. Causality: Endogeneity concerns are addressed using instrumental variables based on external stress episodes
4. Firm-level Effects: Financial stress reduces investment, with larger impacts on less profitable and more financially constrained firms

The new index provides a valuable complement to existing measures by capturing intensity and offering timely insights into financial market conditions globally.