Arbeitspapier
Dating systemic financial stress episodes in the EU countries
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are identified, and a simple algorithm is used to select those episodes of financial stress that are associated with a substantial negative impact on the real economy. By applying this framework to 27 European Union countries, the paper is a first attempt to provide a chronology of systemic financial stress episodes in addition to the expert-detected events that are currently available.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Staff Working Paper ; No. 2016-11
- Classification
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Wirtschaft
Quantitative Policy Modeling
Financial Crises
International Financial Markets
- Subject
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Central bank research
Econometric and statistical methods
Business fluctuations and cycles
Economic models
Financial markets
Financial stability
Monetary and financial indicators
Financial system regulation and policies
- Event
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Geistige Schöpfung
- (who)
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Duprey, Thibaut
Klaus, Benjamin
Peltonen, Tuomas
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
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2016
- DOI
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doi:10.34989/swp-2016-11
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Duprey, Thibaut
- Klaus, Benjamin
- Peltonen, Tuomas
- Bank of Canada
Time of origin
- 2016
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