A financially stressed Euro area

Arbeitspapier

The authors analyze 149 newly compiled monthly time series on financial market stress conditions in the euro area. With the aid of a factor model they find different sources of financial stress which are important for selecting and preparing the appropriate policy response. The existence of a "Periphery Banking Crisis" factor, a "Stress" factor and a "Yield Curve" factor seems to explain the bulk of volatility in recent euro area financial sector data. Moreover, by a real-time forecasting exercise, the authors show that including additional factors - that reflect financial sector conditions - improves forecasts of economic activity at short horizons.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Economics Discussion Papers ; No. 2016-22

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models ; Financial Crises
• Subject: financial stress ; dynamic factor models ; financial crisis ; euro area ; forecasting

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kappler, Marcus ; Schleer, Frauke
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/141421
• Last update: 10.03.2025, 11:44 AM CET