Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82624
Authors: 
Islami, Mevlud
Kurz-Kim, Jeong-Ryeol
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 31/2013
Abstract: 
In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt crisis and to be able to serve as an early warning indicator for negative impacts of financial stress on the real economy.
Subjects: 
financial stress indicator
predictability
financial crisis
real economy
JEL: 
C12
G01
ISBN: 
9783865589484
Document Type: 
Working Paper

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