Financial Stress Index as an Indicator of Financial Stability of Ukraine in War Conditions

Abstract

The importance of proper statistical support of the financial and banking system of the country is substantiated. It was noted that the statistics of the financial sector forms indicators of monetary and credit statistics, statistics of financial markets, statistics of financial accounts and indicators of financial stability. The criteria of financial stability were described: the financial system is liquidated and capitalized; payments and settlements are studied on time; the financial system effectively transforms free funds of citizens and businesses into loans and investments, etc.
 The goal of macroprudential policy is given and the system of indicators that characterizes the level of financial stability of the country is described. It was defined the key groups of indicators, on the basis of which the models of stress testing of banking systems by the National Bank of Ukraine are implemented. Particular attention was focused on the financial stress index, which covers five sub-indices (banking sector, corporate securities, government securities, foreign exchange market, household behavior) and takes into account the effect of their correlation.The dynamics of the IFS for January - May 2022 were analyzed. It was noted that at the beginning of January, the financial stress index was 0.01, and as of February 24, 2022, it has grown rapidly to 0.466 for all components, which indicates the systemic nature of stress for the financial sector in general. It was noted that the level of the sub-index of household behavior was relatively stable, since there was no significant outflow of deposits due to the preservation of public trust in the banking system. The value of the banking sector sub-index (0.075) improved by the end of May thanks to the improvement in the level of liquidity, while the currency sub-index (0.113) maintains quite high values. In May, the IFS fell to 0.265, but the level of stress in the financial market remains quite high by historical standards.The structure of the money supply was analyzed and it was determined that its share of cash was a third of the entire money supply in circulation. The share of cash in February and March 2022 significantly increased compared to the corresponding months of 2021 - by 3.2 percentage points and by 2.9 percentage points, respectively. The share of deposits in the national currency in March 2022 amounted to 34.7%, which is 6.0 percentage points more than compared to March of the previous year. It was determined that the credit demand of the population decreased significantly during the war, in particular, the attractiveness of long-term deposits decreased. Based on the oscillation coefficient, it was determined that in the first half of 2022, the official exchange rate hryvnia to dollar was more stable than the hryvnia to euro exchange rate.The financial losses of Ukraine as a result of the war were characterized. Thus, losses of physical capital from the destruction of enterprises, housing and infrastructure reached 100 billion dollars of the USA, which is equivalent to 50% of GDP in 2021. It is noted that currently the main source of covering the budget deficit is international aid.