Tan, Sook Rei, Wang, Wei Siang, and Chia, Wai Mun (2022) Financial Stress of Singapore in the Time of COVID-19. In: Lean, Hooi Hooi, (ed.) Revitalising ASEAN Economies in a Post-COVID-19 World. World Scientific Publishing Co. Pte. Ltd., Toh Tuck Link, Singapore, pp. 145-167.

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Abstract

This study extends the existing literature on the use of financial stress index (FSI) to assess the financial condition of Singapore during the COVID-19 crisis. Specifically, a high-frequency FSI is constructed to provide timely analysis which is imperative given the pandemic is still lingering across the globe. There are two main uses of the FSI. First, we use FSI to detect episodes of financial stress and investigate whether Singapore’s financial system is facing frailty during the pandemic. Second, we use a vector autoregression (VAR) model to analyse the comovement between FSI, COVID-19 indicators, and global financial factors, which shed light on the main drivers underlying Singapore’s financial stress since the COVID-19 outbreak. Our findings suggest that (1) excessive stresses were detected during 9 March–21 April 2020, a period that corresponded to the evolution of COVID-19 into a global pandemic as well as the beginning of Singapore’s Circuit Breaker period; and (2) the dynamics of Singapore’s FSI is more due to the global financial factors than it is to the severity of the domestic COVID-19 condition.

Item ID:	76683
Item Type:	Book Chapter (Research - B1)
ISBN:	9789811228476
Copyright Information:	© 2022 World Scientific Publishing Company
Date Deposited:	30 May 2023 23:29
FoR Codes:	38 ECONOMICS > 3801 Applied economics > 380107 Financial economics @ 100%
SEO Codes:	15 ECONOMIC FRAMEWORK > 1502 Macroeconomics > 150299 Macroeconomics not elsewhere classified @ 100%
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