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Measuring financial stress index (MFSI) for Malaysian economy

This study focuses on the construction of financial stress index in an emerging economy like Malaysia. This becomes imperative as a result of the repeated episodes of financial crises. This study measures financial stress index for Malaysian economy. We aggregate the identified financial and economi...

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Main Author: Jamaatun Zahariah, Suhaimi
Format: Thesis
Language:English
English
Published: 2016
Subjects:
HG Finance
Online Access:http://etd.uum.edu.my/6104/
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spelling my.uum.etd.61042021-04-05T02:42:11Z http://etd.uum.edu.my/6104/ Measuring financial stress index (MFSI) for Malaysian economy Jamaatun Zahariah, Suhaimi HG Finance This study focuses on the construction of financial stress index in an emerging economy like Malaysia. This becomes imperative as a result of the repeated episodes of financial crises. This study measures financial stress index for Malaysian economy. We aggregate the identified financial and economic factors into a single index using the principal component analysis (CPA). The result shows that MFSI increases as a result of increase in banking sector fragility index, credit stress, external debt, stock market volatility and exchange market pressure index. Moreover, the weights of the variables reveal that the magnitude of the Malaysian financial stress is mainly driven by the fragility of the banking sector. The combine variables explain about 53 percent of the total variation in the Malaysian financial stress index (MFSI). Thus, the financial stress is determined to be the key player in the co-movement of the components used in the construction process. Furthermore, the aggregated components practically capture the known key aspects of financial stress in Malaysia. The implication of the finding is that authorities should focus more on banking sector stability than other components of the financial stress. This will help to reduce the overheating of the Malaysian financial stress. 2016 Thesis NonPeerReviewed text en /6104/1/s815685_01.pdf text en /6104/2/s815685_02.pdf Jamaatun Zahariah, Suhaimi (2016) Measuring financial stress index (MFSI) for Malaysian economy. Masters thesis, Universiti Utara Malaysia.
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Electronic Theses
url_provider http://etd.uum.edu.my/
language English
English
topic HG Finance
spellingShingle HG Finance
Jamaatun Zahariah, Suhaimi
Measuring financial stress index (MFSI) for Malaysian economy
description This study focuses on the construction of financial stress index in an emerging economy like Malaysia. This becomes imperative as a result of the repeated episodes of financial crises. This study measures financial stress index for Malaysian economy. We aggregate the identified financial and economic factors into a single index using the principal component analysis (CPA). The result shows that MFSI increases as a result of increase in banking sector fragility index, credit stress, external debt, stock market volatility and exchange market pressure index. Moreover, the weights of the variables reveal that the magnitude of the Malaysian financial stress is mainly driven by the fragility of the banking sector. The combine variables explain about 53 percent of the total variation in the Malaysian financial stress index (MFSI). Thus, the financial stress is determined to be the key player in the co-movement of the components used in the construction process. Furthermore, the aggregated components practically capture the known key aspects of financial stress in Malaysia. The implication of the finding is that authorities should focus more on banking sector stability than other components of the financial stress. This will help to reduce the overheating of the Malaysian financial stress.
format Thesis
author Jamaatun Zahariah, Suhaimi
author_facet Jamaatun Zahariah, Suhaimi
author_sort Jamaatun Zahariah, Suhaimi
title Measuring financial stress index (MFSI) for Malaysian economy
title_short Measuring financial stress index (MFSI) for Malaysian economy
title_full Measuring financial stress index (MFSI) for Malaysian economy
title_fullStr Measuring financial stress index (MFSI) for Malaysian economy
title_full_unstemmed Measuring financial stress index (MFSI) for Malaysian economy
title_sort measuring financial stress index (mfsi) for malaysian economy
publishDate 2016
url http://etd.uum.edu.my/6104/
_version_ 1696978309394464768
score 13.211869

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