Dating systemic financial stress episodes in the EU countries / by Thibaut Duprey, Benjamin Klaus and Tuomas Peltonen.: FB3-5/2016-11E-PDF
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are identified, and a simple algorithm is used to select those episodes of financial stress that are associated with a substantial negative impact on the real economy. By applying this framework to 27 European Union countries, the paper is a first attempt to provide a chronology of systemic financial stress episodes in addition to the expert-detected events that are currently available.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Dating systemic financial stress episodes in the EU countries / by Thibaut Duprey, Benjamin Klaus and Tuomas Peltonen. |
| Series title | Staff Working Paper, 1701-9397 ; 2016-11 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "March 2016." Includes bibliographical references. |
| Publishing information | [Ottawa] : Bank of Canada, 2016. |
| Author / Contributor | Duprey, Thibaut. Klaus, Benjamin. Peltonen, Tuomas. |
| Description | iii, 47 p. : fig., graphs, tables. |
| Catalogue number |
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| Subject terms | Financial crisis Analysis Methodology |