Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148118
Authors: 
Duprey, Thibaut
Klaus, Benjamin
Peltonen, Tuomas
Year of Publication: 
2016
Series/Report no.: 
Bank of Canada Staff Working Paper 2016-11
Abstract: 
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are identified, and a simple algorithm is used to select those episodes of financial stress that are associated with a substantial negative impact on the real economy. By applying this framework to 27 European Union countries, the paper is a first attempt to provide a chronology of systemic financial stress episodes in addition to the expert-detected events that are currently available.
Subjects: 
Central bank research
Econometric and statistical methods
Business fluctuations and cycles
Economic models
Financial markets
Financial stability
Monetary and financial indicators
Financial system regulation and policies
JEL: 
C54
G01
G15
Document Type: 
Working Paper

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