Arbeitspapier
Detecting and interpreting financial stress in the euro area
There is a need to find better models and indicators for large disruptive events, not least in order to be more prepared and mitigate their effects. In this paper we take a step in this direction and discuss the performance of a financial stress indicator with a specific focus on the euro area. As far as we know, our indicator is the first attempt to develop an indicator of financial stress with a specific focus on the euro area. It is also the first to exploit the information contained in central bank communication to help measure stress in financial markets. For use in real time, the indicator is able to efficiently extract information from an otherwise noisy signal and provide information about the level of stress in the markets.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1214
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
General Financial Markets: General (includes Measurement and Data)
- Thema
-
behavioural finance
central bank communication
Financial stress
Leading Indicator
logit distribution
Wirtschaftsindikator
Finanzkrise
Finanzsektor
Geldpolitik
Anlageverhalten
Eurozone
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Blix Grimaldi, Marianna
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Blix Grimaldi, Marianna
- European Central Bank (ECB)
Entstanden
- 2010
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