Arbeitspapier

A composite indicator of financial conditions for Germany

This paper proposes a composite indicator of financial conditions for Germany. The composite indicator distills information from large amounts of data covering different segments of the German financial system into a summary measure of financial conditions. This measure is constructed from 70 individual financial indicators for the period between January 2003 and June 2022. The findings show that there were four main episodes of tight financial conditions in Germany, which coincide with the financial crisis of the early 2000s, the 2008 global financial crisis, the euro area sovereign debt crisis of the early 2010s and the COVID-19 recession in 2020. Recent readings of the composite indicator point to tighterthan- average financial conditions in the first half of 2022. Estimates from a structural vector autoregression indicate that financial shocks account for a relatively large part of the variation in financial conditions, while macroeconomic shocks play a smaller role.

Language
Englisch

Bibliographic citation
Series: Technical Paper ; No. 03/2022

Classification
Wirtschaft
Financial Markets and the Macroeconomy
Money Supply; Credit; Money Multipliers
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
Subject
diffusion index
factor model
financial conditions
financial stability

Event
Geistige Schöpfung
(who)
Metiu, Norbert
Event
Veröffentlichung
(who)
Deutsche Bundesbank
(where)
Frankfurt a. M.
(when)
2022

Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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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

  • Metiu, Norbert
  • Deutsche Bundesbank

Time of origin

  • 2022

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