Dating Systemic Financial Stress Episodes in the EU Countries

Thibaut Duprey, Benjamin Klaus and Tuomas Peltonen ()

Staff Working Papers from Bank of Canada

Abstract: 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.

Keywords: Business fluctuations and cycles; Central bank research; Econometric and statistical methods; Economic models; Financial markets; Financial stability; Financial system regulation and policies; Monetary and financial indicators (search for similar items in EconPapers)
JEL-codes: C54 G01 G15 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2016
New Economics Papers: this item is included in nep-cba and nep-eec
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Dating systemic financial stress episodes in the EU countries (2017)
Working Paper: Dating systemic financial stress episodes in the EU countries (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:16-11

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