Dating systemic financial stress episodes in the EU countries

Tuomas Peltonen (), Benjamin Klaus and Thibaut Duprey

No 1873, Working Paper Series from European Central Bank

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 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. JEL Classification: C54, G01, G15

Keywords: Crises Dating; Financial Stress Index; Markov Switching; Systemic Financial Crises (search for similar items in EconPapers)
Date: 2015-12
Note: 355041
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Citations: View citations in EconPapers (30)

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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 (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20151873

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