Artikel
A financially stressed euro area
The authors analyse 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 that 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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 11 ; Year: 2017 ; Issue: 2017-6 ; Pages: 1-37 ; Kiel: Kiel Institute for the World Economy (IfW)
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Financial Crises
- Thema
-
financial stress
dynamic factor models
financial crisis
euro area
forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kappler, Marcus
Schleer, Frauke
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for the World Economy (IfW)
- (wo)
-
Kiel
- (wann)
-
2017
- DOI
-
doi:10.5018/economics-ejournal.ja.2017-6
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Kappler, Marcus
- Schleer, Frauke
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2017
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