Measuring Financial Stress and Investigating Financial Stress Spillover Effect for G20 Countries

Hande Çalışkan Terzioğlu
Düzce University


The study aims to calculate a financial stress index for the G-20 countries, which are of great importance for the global economy, and to examine the transmission of financial stress between the countries in question. In this context, the study aims to reveal the vulnerability and stability of G-20 economies against external financial stress shocks. The financial stress index for each country is calculated by considering five sub-market indicators (monetary, bond, stock exchange, foreign exchange, and banking sector). Accordingly, whether the financial stress indices are sufficient to track recessions has been evaluated from a historical perspective. Then, by considering the integration among countries, the financial stress transmission relationship between the countries is examined between 2006 and 2020 by using the dynamic connectedness analysis suggested by Diebold and Yilmaz (2012). Accordingly, it is determined that the financial stress in these countries increased during the crisis periods. Empirical results show the financial stress transmitter and receiver countries during financial crisis periods. According to the net directional spillover analysis results, as financial stress receiver, while Indonesia ranks first among the countries in question, Japan ranks last. On the other hand, as financial stress transmitter, while the UK ranks first among the countries in question, Argentina ranks last. Finally, while the net spillover analysis results highlight the UK, the US, and France as the most important countries that transmit financial stress to the rest of the countries, Argentina, Turkey and Indonesia are determined the countries that most important financial stress receiver.

How to cite this book

Çalışkan Terzioğlu, H. (2023). Measuring Financial Stress and Investigating Financial Stress Spillover Effect for G20 Countries. Özgür Publications. DOI:



May 22, 2023