Financial stress indicators for small, open, highly euroized countries: the case of Croatia

Abstract

The main objective of this paper is to construct high-frequency composite indicators of financial stress for Croatia that will enable the monitoring of the total level of financial stress and its components on the domestic financial market. Emphasis is put on the choice of variables appropriate for small, open, highly euroized economies characterised by bank-centric financial systems dominantly owned by foreign banks, shallow financial markets and dependence on foreign capital.

Keywords

• financial stress; financial stability; financial markets; systemic risk; composite index; Croatia