A financial stress indicator for Germany

Norbert Metiu

No 10/2024, Technical Papers from Deutsche Bundesbank

Abstract: This paper describes the Bundesbank's weekly financial stress indicator for Germany. The indicator condenses several financial market variables into a summary measure of financial stress. It represents a contemporaneous, market-based indicator that captures the materialisation of systemic risk along three different risk dimensions - credit, liquidity and market risk. Judged by this measure, the German financial system has experienced its most severe financial stress period since 2002 during the 2008 global financial crisis, with highly elevated levels in all three dimensions of financial stress. The indicator also points to historically high stress levels during the euro area sovereign debt crisis in the early 2010s. Recent readings of the indicator, by contrast, indicate historically low levels of financial stress.

Keywords: diffusion index; factor model; financial conditions; financial stability (search for similar items in EconPapers)
JEL-codes: E44 E51 G12 G17 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-eec, nep-fdg, nep-inv and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubtps:312405

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