Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/242346 
Year of Publication: 
2021
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2021: Climate Economics
Publisher: 
ZBW - Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
This paper proposes a general statistical framework for systemic financial stress indexes. Several existing index designs can be represented as special cases. We introduce a daily variant of the ECB's CISS for the euro area and the US. The CISS aggregates a representative set of stress indicators using their time-varying cross-correlations as systemic weights, like portfolio risk is computed from the risk characteristics of individual assets. A bootstrap algorithm delivers test statistics. A linear VAR suggests that systemic stress is the main cause behind the Great Recession, while its contribution to the Covid-19 crisis appears limited. A quantile VAR features stronger real effects of financial stress in the worst states of the economy.
Subjects: 
Financial crisis
Financial stress index
Macro-financial linkages
Quantile vectorautoregression
Systemic risk
JEL: 
C14
C31
C43
C53
E44
G01
Document Type: 
Conference Paper

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