The Nonlinear Relationship Between Financial Stress, Inflation, and Economic Activity: An Empirical Study in an Emerging Economy. Dataset

The dataset represents the joint dynamics of Financial Stress Index (FSI), Consumer Price Index (CPI) calculated and provided by the National Bank of Ukraine (NBU) and Gross Domestic Product (GDP) provided by SSSU for Ukraine. The monthly dataset range is Feb 2004-Feb 2022, the effective balanced range is Jan 2011-Dec 2021. The daily FSI data is aggregated into monthly series as a period average. The CPI series are monthly. The quarterly GDP data is seasonally adjusted and interpolated into monthly data with the use of ARIMA model and cubic spline method accordingly, converted into year-over-year series (dGDP).