Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/278674 
Erscheinungsjahr: 
2023
Schriftenreihe/Nr.: 
ECB Working Paper No. 2842
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper proposes a general statistical framework for systemic financial stress indices which measure the severity of financial crises on a continuous scale. Several index designs from the financial stress and systemic risk literature can be represented as special cases. We introduce an enhanced daily variant of the CISS (composite indicator of systemic stress) for the euro area and the US. The CISS aggregates a representative set of stress indicators using their time-varying cross-correlations as systemic risk weights, computationally similar to how portfolio risk is computed from the risk characteristics of individual assets. A boot-strap algorithm provides test statistics. Single-equation and system quantile growth-at-risk regressions show that the CISS has stronger effects in the lower tails of the growth distribution. Simulations based on a quantile VAR suggest that systemic stress is a major driver of the Great Recession, while its contribution to the COVID-19 crisis appears to be small.
Schlagwörter: 
Financial crisis
Financial stress index
Macro-financial linkages
Quantile VAR
Systemic risk
JEL: 
C14
C31
C43
C53
E44
G01
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-6127-1
Dokumentart: 
Working Paper

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