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.

Language: Englisch

Bibliographic citation: 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)

Classification: Wirtschaft
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
Financial Crises

Subject: financial stress
dynamic factor models
financial crisis
euro area
forecasting

Event: Geistige Schöpfung

(who): Kappler, Marcus
Schleer, Frauke

Event: Veröffentlichung

(who): Kiel Institute for the World Economy (IfW)

(where): Kiel

(when): 2017

DOI: doi:10.5018/economics-ejournal.ja.2017-6

Handle: http://hdl.handle.net/10419/156481

Last update: 10.03.2025, 11:46 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.

Show original at data provider

Object type

Artikel

Associated

Kappler, Marcus
Schleer, Frauke
Kiel Institute for the World Economy (IfW)

Time of origin

2017

Other Objects (12)

Arbeitspapier