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
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 2458
- Classification
-
Wirtschaft
Hypothesis Testing: General
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Financial Markets and the Macroeconomy
- Subject
-
downside risk
macro-financial linkages
quantile regression
- Event
-
Geistige Schöpfung
- (who)
-
Figueres, Juan Manuel
Jaroci´nski, Marek
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2020
- DOI
-
doi:10.2866/903796
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
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
- Figueres, Juan Manuel
- Jaroci´nski, Marek
- European Central Bank (ECB)
Time of origin
- 2020
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