Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154306 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
ECB Working Paper No. 1873
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Crises Dating
Financial Stress Index
Markov Switching
Systemic Financial Crises
JEL: 
C54
G01
G15
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-1686-8
Dokumentart: 
Working Paper

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