Novel dynamic financial stress index and stress regimes in Pakistan: insights from dynamic PCA and Markov switching model

Purpose This study aims to develop a financial stress index for Pakistan and figure out the stressful and non-stressful regimes for pre- and post-COVID-19 era by making use of available annual time-series data from January 1996 to December 2020. Design/methodology/approach Two state-of-the-art appro...

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Bibliographic Details
Published in:Journal of financial economic policy 2026-03, Vol.18 (2), p.308-324
Main Authors: Ahmed, Mumtaz, Tahir, Muhammad, Meero, Abdulrhman
Format: Article
Language:English
Subjects:
Banking
COVID-19
Credit risk
Disease transmission
Economic activity
Economic crisis
Economic development
Economic growth
Economic stress
Financial institutions
Financial market
Financial performance
Financial systems
Indexes
International finance
Liquidity
Pandemics
Principal components analysis
Probability
Public finance
Securities markets
Stock exchanges
Stress
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