Arbeitspapier

Dating systemic financial stress episodes in the EU countries

This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov Switching model, high financial stress regimes are identified and a simple algorithm is used to select those episodes of financial stress that are associated with a substantial negative impact on the real economy. By applying this framework to 27 EU countries, the paper is a first attempt to provide a chronology of systemic financial stress episodes in addition to the expert-detected events available so far.

ISBN: 978-92-899-1686-8

Language: Englisch

Bibliographic citation: Series: ECB Working Paper ; No. 1873

Classification: Wirtschaft
Quantitative Policy Modeling
Financial Crises
International Financial Markets

Subject: Crises Dating
Financial Stress Index
Markov Switching
Systemic Financial Crises

Event: Geistige Schöpfung

(who): Duprey, Thibaut
Klaus, Benjamin
Peltonen, Tuomas A.

Event: Veröffentlichung

(who): European Central Bank (ECB)

(where): Frankfurt a. M.

(when): 2015

DOI: doi:10.2866/747511

Handle: http://hdl.handle.net/10419/154306

Last update: 10.03.2025, 11:43 AM CET

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Object type

Arbeitspapier

Associated

Duprey, Thibaut
Klaus, Benjamin
Peltonen, Tuomas A.
European Central Bank (ECB)

Time of origin

2015

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Arbeitspapier