Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156481
Authors: 
Kappler, Marcus
Schleer, Frauke
Year of Publication: 
2017
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 11 [Issue:] 2017-6 [Pages:] 1-37
Abstract: 
The authors analyse 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 that 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.
Subjects: 
financial stress
dynamic factor models
financial crisis
euro area
forecasting
JEL: 
C38
G01
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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