Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom*
构建了英国50年每日金融压力指数，发现新冠疫情中金融压力峰值低于全球金融危机，并通过门槛向量自回归模型揭示压力期与非压力期经济动态的非线性放大效应。
Abstract We develop a daily composite index of financial stress for the United Kingdom over 50 years, the UKFSI. The index includes market stress indicators based on their incremental information to capture financial crises. During the COVID‐19 crisis, financial stress peaks but remains less severe than during the Global Financial Crisis. The UKFSI is used in a threshold vector autoregression to differentiate the economic dynamics between tranquil and stressful periods. We highlight the importance of nonlinearities that amplify shocks. But we find no evidence of financial shocks contributing to the COVID‐19 crisis, possibly reflecting effective policy interventions.