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<p>Safeguarding financial stability requires high-frequency monitoring of financial sector stress to inform macroprudential policy and investment decisions. This paper shows that, in selected ASEAN + 3 economies, daily financial stress indices (FSIs), constructed from asset prices across multiple markets, effectively track the evolution of financial risk. When modeled with univariate regime-switching techniques, FSIs identify low-, medium-, and high-risk regimes. However, regime identification alone is insufficient to guide timely policy responses or allow market participants to adjust exposures. To address this gap, we demonstrate that momentum-based technical indicators, originally developed for stock and foreign exchange trading, can forecast regime shifts up to 60&#xa0;days in advance—providing a valuable window for hedging and preventive action.</p>

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Financial Stress in Asean + 3 Economies: Risk Regime Identification and Predictability

  • 期刊论文

  • 发表日期：

    2026年1月19日

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  • Jorge A. Chan-Lau,
  • Michael Wynn,
  • Hoang Nam Nguyen

摘要

Safeguarding financial stability requires high-frequency monitoring of financial sector stress to inform macroprudential policy and investment decisions. This paper shows that, in selected ASEAN + 3 economies, daily financial stress indices (FSIs), constructed from asset prices across multiple markets, effectively track the evolution of financial risk. When modeled with univariate regime-switching techniques, FSIs identify low-, medium-, and high-risk regimes. However, regime identification alone is insufficient to guide timely policy responses or allow market participants to adjust exposures. To address this gap, we demonstrate that momentum-based technical indicators, originally developed for stock and foreign exchange trading, can forecast regime shifts up to 60 days in advance—providing a valuable window for hedging and preventive action.