An index of financial market stress for the United Kingdom

We construct and develop a new financial market stress index using twenty-threeheadline U.K. financial data series. A logistic regression framework provides aparsimonious representation of financial market stress in the U.K. based on themarket dynamics around the time of Bank of England crisis-alleviating economicinterventions. Our results present clear evidence that the Bank of Englands swiftand decisive actions stemmed financial market stress as measured by the stressindex.