Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/312405 
Authors: 
Year of Publication: 
2024
Series/Report no.: 
Technical Paper No. 10/2024
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
This paper describes the Bundesbank's weekly financial stress indicator for Germany. The indicator condenses several financial market variables into a summary measure of financial stress. It represents a contemporaneous, market-based indicator that captures the materialisation of systemic risk along three different risk dimensions - credit, liquidity and market risk. Judged by this measure, the German financial system has experienced its most severe financial stress period since 2002 during the 2008 global financial crisis, with highly elevated levels in all three dimensions of financial stress. The indicator also points to historically high stress levels during the euro area sovereign debt crisis in the early 2010s. Recent readings of the indicator, by contrast, indicate historically low levels of financial stress.
Subjects: 
diffusion index
factor model
financial conditions
financial stability
JEL: 
E44
E51
G12
G17
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.