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Dating systemic financial stress episodes in the EU countries

Thibaut Duprey, Benjamin Klaus () and Tuomas Peltonen ()

Journal of Financial Stability, 2017, vol. 32, issue C, 30-56

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-Level Index of Financial Stress (CLIFS). Based on two Markov-switching and one threshold vector autoregressive model, information from the CLIFS and industrial production are combined to identify those episodes of financial market 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 as a complement to the expert-detected events that are currently available.

Keywords: Financial stress index; Markov-switching; Threshold VAR; Systemic financial crises; Crises dating (search for similar items in EconPapers)
Date: 2017
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Working Paper: Dating Systemic Financial Stress Episodes in the EU Countries (2016) Downloads
Working Paper: Dating systemic financial stress episodes in the EU countries (2015) Downloads
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