Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154306
Authors: 
Duprey, Thibaut
Klaus, Benjamin
Peltonen, Tuomas A.
Year of Publication: 
2015
Series/Report no.: 
ECB Working Paper 1873
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 EU countries, the paper is a first attempt to provide a chronology of systemic financial stress episodes in addition to the expert-detected events available so far.
Subjects: 
Crises Dating
Financial Stress Index
Markov Switching
Systemic Financial Crises
JEL: 
C54
G01
G15
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-1686-8
Document Type: 
Working Paper

Files in This Item:
File
Size
591.89 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.