Measuring Systemic Financial Stress and its Impact on the Macroeconomy

Konferenzbeitrag

This paper proposes a general statistical framework for systemic financial stress indexes. Several existing index designs can be represented as special cases. We introduce a daily variant of the ECB's CISS for the euro area and the US. The CISS aggregates a representative set of stress indicators using their time-varying cross-correlations as systemic weights, like portfolio risk is computed from the risk characteristics of individual assets. A bootstrap algorithm delivers test statistics. A linear VAR suggests that systemic stress is the main cause behind the Great Recession, while its contribution to the Covid-19 crisis appears limited. A quantile VAR features stronger real effects of financial stress in the worst states of the economy.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2021: Climate Economics

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models ; Index Numbers and Aggregation; Leading indicators ; Forecasting Models; Simulation Methods ; Financial Markets and the Macroeconomy ; Financial Crises
• Thema: Financial crisis ; Financial stress index ; Macro-financial linkages ; Quantile vectorautoregression ; Systemic risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kremer, Manfred ; Chavleishvili, Sulkhan
• Ereignis: Veröffentlichung
• (wer): ZBW - Leibniz Information Centre for Economics
• (wo): Kiel, Hamburg
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/242346
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ