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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| Titre | Dating systemic financial stress episodes in the EU countries / by Thibaut Duprey, Benjamin Klaus and Tuomas Peltonen. |
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| Type de publication | Monographie - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Texte numérique |
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| Description | iii, 47 p. : fig., graphs, tables. |
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