Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/322019 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
EBA Staff Paper Series No. 22
Verlag: 
European Banking Authority (EBA), Paris La Défense
Zusammenfassung: 
We introduce a new Economic Distress Index (EDI), which incorporates information from all economic sectors as a device for real-time monitoring of financial stability risks in the euro area. Our approach is based on structural models of credit risk and incorporates market and balance sheet information from which we derive distance-to-defaults as uniform risk indicators across economic sectors, which form the basis of the EDI. Monetary financial institutions are the largest contributors to the EDI over the period from 1999 to 2023. In the post-Global Financial Crisis period, non-bank financial intermediaries emerge as the largest contributors to the EDI, consistent with broader developments that have contributed to the growth of non-bank financial intermediation. Using local projections, we show that the EDI also has significant predictive power for macroeconomic developments that originate primarily from high-stress regimes. Finally, we unpack that volatility is clearly the most important driver of the raw risk indicators, accounting on average for almost 80% of the explained variation.
Schlagwörter: 
Credit risk
Financial accounts
Contingent claims analysis
Systemic risk
Macro-prudential analysis
financial risk
financial stability
risk management
insurance claim
macroeconomics
economic indicator
JEL: 
C43
C53
E01
E37
E44
G01
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-9245-979-6
Dokumentart: 
Working Paper

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