Dating systemic financial stress episodes in the EU countries
Tuomas Peltonen (),
Benjamin Klaus () and
No 1873, Working Paper Series from European Central Bank
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)
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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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