Arbeitspapier
Vulnerable growth in the euro area: Measuring the financial conditions
This paper examines which measures of financial conditions are informative about the tail risks to output growth in the euro area. The Composite Indicator of Systemic Stress (CISS) is more informative than indicators focusing on narrower segments of financial markets or their simple aggregation in the principal component. Conditionally on the CISS one can reproduce for the euro area the stylized facts known from the US, such as the strong negative correlation between conditional mean and conditional variance that generates stable upper quantiles and volatile lower quantiles of output growth.
- ISBN
-
978-92-899-4375-8
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2458
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Financial Markets and the Macroeconomy
- Thema
-
downside risk
macro-financial linkages
quantile regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Figueres, Juan Manuel
Jaroci´nski, Marek
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2020
- DOI
-
doi:10.2866/903796
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Figueres, Juan Manuel
- Jaroci´nski, Marek
- European Central Bank (ECB)
Entstanden
- 2020
Ähnliche Objekte (12)
Particulary sensitive sea areas : the IMO's role in protecting vulnerable marine areas
Measuring financial conditions in major non-euro area economies
Measuring financial integration in the Euro area
Measuring core inflation in the euro area
Measuring financial integration in the euro area
Measuring core inflation in the Euro area
Financing conditions in the euro area
How to protect the Vulnerable?
Vulnerable
A system approach for measuring the euro area NAIRU
A system approach for measuring the Euro area NAIRU
Measuring the cost of equity of euro area banks
Particulary sensitive sea areas : the IMO's role in protecting vulnerable marine areas
Measuring financial conditions in major non-euro area economies
Measuring financial integration in the Euro area
Measuring core inflation in the euro area
Measuring financial integration in the euro area
Measuring core inflation in the Euro area
Financing conditions in the euro area
How to protect the Vulnerable?
Vulnerable
A system approach for measuring the euro area NAIRU
A system approach for measuring the Euro area NAIRU
Measuring the cost of equity of euro area banks
Particulary sensitive sea areas : the IMO's role in protecting vulnerable marine areas
Measuring financial conditions in major non-euro area economies
Measuring financial integration in the Euro area
Measuring core inflation in the euro area
Measuring financial integration in the euro area
Measuring core inflation in the Euro area
Financing conditions in the euro area
How to protect the Vulnerable?
Vulnerable
A system approach for measuring the euro area NAIRU
A system approach for measuring the Euro area NAIRU