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Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
Economics Discussion Papers No. 2016-22
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
The authors analyze 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 which 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.
Schlagwörter: 
financial stress
dynamic factor models
financial crisis
euro area
forecasting
JEL: 
C38
G01
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper

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