Detecting financial stress and its impacts in Vietnam

Tóm tắt

The recent global financial crisis 2008-2009 has posed great impacts on the global economy. Since then, there are many researches on financial stress: what it is, how to construct financial stress index and how it affects the real economy. In this paper, the author first reviews literature on financial stress, then constructs the financial stress index (FSI) by identifying the stress subindex for different market: monetary market, stock market, foreign exchange market and the banking system, then use the equal variance weight method to determine the financial stress period in Vietnam. The result shows that the Vietnam financial stress index reached its highest peak in 2011 and surpassed the long term trend of FSI during 2011- 2012, implying that Vietnam financial sector experienced stress period during this time. By using VAR model, the author assesses the impact of FSI to Vietnam economy by reducing the investment and GDP growth in Vietnam. The result shows a negative impact of FSI on real economy.