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Autor:innen: 
Kappler, Marcus
Schleer, Frauke
Datum: 
2017
Quellenangabe: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Volume:] 11 [Year:] 2017 [Issue:] 2017-6 [Pages:] 1-37
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
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.
Schlagwörter: 
financial stress
dynamic factor models
financial crisis
euro area
forecasting
JEL: 
C38
G01
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
http://creativecommons.org/licenses/by/4.0/
Dokumentart: 
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