A new database for financial crises in European countries: ECB/ESRB EU crises database

Bericht

This paper presents a new database for financial crises in European countries, which serves as an important step towards establishing a common ground for macroprudential oversight and policymaking in the EU. The database focuses on providing precise chronological definitions of crisis periods to support the calibration of models in macroprudential analysis. An important contribution of this work is the identification of financial crises by combining a quantitative approach based on a financial stress index with expert judgement from national and European authorities. Key innovations of this database are (i) the inclusion of qualitative information about events and policy responses, (ii) the introduction of a broad set of non-exclusive categories to classify events, and (iii) a distinction between event and post-event adjustment periods. The paper explains the two-step approach for identifying crises and other key choices in the construction of the dataset. Moreover, stylised facts about the systemic crises in the dataset are presented together with estimations of output losses and fiscal costs associated with these crises. A preliminary assessment of the performance of standard early warning indicators based on the new crises dataset confirms findings in the literature that multivariate models can improve compared to univariate signalling models.

Object Details

• ISBN: 978-92-95210-64-6
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ESRB Occasional Paper Series ; No. 13

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; Financial Markets and the Macroeconomy ; Central Banks and Their Policies ; Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General ; Crisis Management
• Subject: central bank statistics ; crises database ; early warning models ; financial crises ; macroprudential

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lo Duca, Marco ; Koban, Anne ; Basten, Marisa ; Bengtsson, Elias ; Klaus, Benjamin ; Kusmierczyk, Piotr ; Lang, Jan Hannes
• Event: Veröffentlichung
• (who): European Systemic Risk Board (ESRB), European System of Financial Supervision
• (where): Frankfurt a. M.
• (when): 2017

Further information

• DOI: doi:10.2849/119019
• Handle: http://hdl.handle.net/10419/193608
• Last update: 10.03.2025, 11:43 AM CET