Sistemski stres v evrskem območju

Kumer, Manja

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Title:	Sistemski stres v evrskem območju
Authors:	ID Kumer, Manja (Author) ID Romih, Dejan (Mentor) More about this mentor...
Files:	VS_Kumer_Manja_2020.pdf (603,99 KB) MD5: DA04BB8B22D3C088B27C3371A215ED8D PID: 20.500.12556/dkum/cb39ed8f-a88c-4616-a5b3-1a0c8697afea
Language:	Slovenian
Work type:	Diploma project paper
Typology:	2.11 - Undergraduate Thesis
Organization:	EPF - Faculty of Business and Economics
Abstract:	Finančne krize so moteči dogodki, ki pomenijo veliko izgubo v blaginji in zahtevajo hiter in učinkovit pristop držav z ukrepi, ki zagotavljajo dodatno likvidnost med krizo. Pokazatelj finančne krize je sistemski stres, ki nam pove količino uresničenega sistemskega tveganja. To izmerimo s sestavljenim kazalnikom sistemskega stresa (CISS), ki se osredotoča na sistemsko razsežnost finančnega stresa. CISS ima v evrskem območju veliko napovedno moč za makroekonomske spremenljivke, kot so inflacija, rast realnega BDP ipd. Drugi kazalnik, s katerim lahko izmerimo sistemski stres v evrskem območju, je VSTOXX. Ko prevladuje finančna kriza in nastopi finančna nestabilnost (finančni sistem ni odporen na gospodarske šoke in ni sposoben nemoteno izpolnjevati svojih temeljnih funkcij), je kazalnik CISS visok (velik sistemski stres). V nasprotnem primeru je sistemski stres majhen. V povečanem sistemskem stresu se posledice odražajo v nestabilnosti finančnega trga, ki se znajde v težavah zaradi krize ali česar koli drugega, ki negativno vpliva na finančni sistem. Finančno nestabilnost merimo z različnimi kazalniki, kot so FSRI, CISS in VIX. Prehod finančne stabilnosti v finančno nestabilnost pa imenujemo Minskyjev trenutek. Do pojava Minskyjevega trenutka je prišlo v nekaterih državah po svetu zaradi novonastalega koronavirusa. Pandemija covida-19 je povzročila izjemne padce vrednosti na finančnih trgih, posledica tega pa je bilo povečanje finančne nestabilnosti. V delu diplomskega projekta bomo v uvodu predstavili osnovno problematiko, cilje, namen in hipoteze. V drugem poglavju bomo predstavili definicijo finančne nestabilnosti in spoznali Minskyjev trenutek. Na kratko bomo spoznali ključne ranljivosti evrskega območja, ki privedejo do finančne nestabilnosti. Prav tako bomo obravnavali nekatera tveganja za gospodarsko rast v evrskem območju, ki bi ogrozila finančno stabilnost. Za ugotavljanje finančne nestabilnosti pa uporabljamo kazalnike FSRI, CISS in VIX. Predstavili bomo tudi, kako je pandemija covida-19 vplivala na finančno nestabilnost. V drugem poglavju bomo obravnavali sistemski stres in z njim povezana kazalnika CISS, ki se uporablja za evrsko območje, ter VSTOXX. Prav tako bomo spoznali posledice sistemskega stresa za gospodarstvo. V zadnjem, četrtem poglavju, bomo obravnavali delniške indekse CAC 40, DAX in EURO STOXX 50 in analizirali njihovo gibanje. Prav tako bomo analizirali gibanje CISS a za evrsko območje. V empiričnem delu bomo izračunali koeficient korelacije med delniškimi indeksi in CISS-om za evrsko območje.
Keywords:	CAC 40, CISS, DAX, EURO STOXX 50, finančna nestabilnost, sistemski stres, VSTOXX
Place of publishing:	Maribor
Publisher:	[M. Kumer]
Year of publishing:	2020
PID:	20.500.12556/DKUM-77621
UDC:	339.7
COBISS.SI-ID:	36547331
NUK URN:	URN:SI:UM:DK:NJFO5AIZ
Publication date in DKUM:	10.11.2020
Views:	1239
Downloads:	112
Metadata:
Categories:	EPF
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Licences

License:	CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Link:	http://creativecommons.org/licenses/by-nc-nd/4.0/
Description:	The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.
Licensing start date:	07.09.2020

Secondary language

Language:	English
Title:	Systemic stress in the euro area
Abstract:	Financial crises are very disruptive elements which represent a major loss in terms of economic prosperity, and require an effective approach from banks and governments to implement measures aimed at providing stability and liquidity. An indicator of a financial crisis is systemic stress, sometimes collapse and, in between, are elements which constitute measures of realized systemic risks. Systemic risk is measured by means of a composite indicator of systemic stress (CISS) which, within the euro area, has significant forecasting power in relation to macroeconomic variables, such as inflation, gross domestic product (GDP), etc. The second indicator with which we are able to measure systemic stress is VSTOXX. Systemic stress is calculated using the CISS and VSTOXX indicators. During a crisis and a period of financial instability, a financial system cannot be resistant to economic shocks and is also unable to fulfil its basic functions; in this situation, the CISS indicator would be high (high systemic stress). Conversely, when the situation in the country is normal and financial stability is stable, systemic stress is low. The consequences of increased systemic stress are reflected in the instability of the financial market, which finds itself in financial difficulty as a result of the crisis, or any other circumstances that negatively affect the financial system in the country. Financial instability is determined by various indicators, such as the financial stability risk index (FSRI), the CISS and the Volatility Index (VIX). A Minsky moment is a description of the transition between financial stability and financial instability. In this study, we cannot avoid the COVID-19 pandemic, which has caused a significant decline in many financial markets, resulting in financial instability. In the introduction of this diploma some of basic issues, goals, purposes and hypotheses will be presented, while in the second chapter the concept of financial instability will be defined. The Minsky moment will also be explored, namely the timeline which runs from financial stability to instability. In addition, we will briefly discuss the key vulnerabilities of the euro area that have led to financial instability and will also address some of the risks to economic growth in the euro area, that could pose challenges to financial instability. In this chapter, we will consider the indicators of financial instability (FSRI, CISS, VIX), which will enable us to better understand the situation in the country and how the COVID-19 pandemic has affected financial stability. The content of the second chapter refers to systemic stress and its associated CISS and VSTOXX indicators. The consequences of systemic stress on the economy will also be discussed. In the fourth chapter, we will define the stock indices CAC 40, DAX and EURO STOXX 50 and analyze their fluctuations. We will also analyze the movement of the CISS system indicator. In the empirical section, we will calculate the correlation of the coefficient of all three stock exchange indices in relation to the CISS indicator.
Keywords:	CAC 40, CISS, DAX stock index, EURO STOXX 50, financial instability, systemic stress, VSTOXX

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