Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/229072
Authors: 
Figueres, Juan Manuel
Jaroci´nski, Marek
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2458
Abstract: 
This paper examines which measures of financial conditions are informative about the tail risks to output growth in the euro area. The Composite Indicator of Systemic Stress (CISS) is more informative than indicators focusing on narrower segments of financial markets or their simple aggregation in the principal component. Conditionally on the CISS one can reproduce for the euro area the stylized facts known from the US, such as the strong negative correlation between conditional mean and conditional variance that generates stable upper quantiles and volatile lower quantiles of output growth.
Subjects: 
downside risk
macro-financial linkages
quantile regression
JEL: 
C12
E37
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4375-8
Document Type: 
Working Paper

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