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HomeDating systemic financial stress episodes in the EU countries. No 1873 / December 2015
Publication metadata
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 EU countries, the paper is a first attempt to provide a chronology of systemic financial stress episodes in addition to the expert-detected events available so far.
- Published:
- Corporate author(s): European Central Bank
- Personal author(s): Duprey, Thibaut ; Klaus, Benjamin ; Peltonen, Tuomas
- Themes: Economy — Finance
- Subject: econometrics , economy , EU Member State , financial institution , financial market , monetary crisis
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| ISSN 1725-2806 | ISBN 978-92-899-1685-1 | DOI 10.2866/521587 | Catalogue number QB-AR-15-112-EN-N |
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| ISSN 1725-2806 | ISBN 978-92-899-1686-8 | DOI 10.2866/74751 | Catalogue number QB-AR-15-113-EN-N |
- Released on EU publications website:
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