Journal of Financial Stability Vol. 32 2017
Dating systemic financial stress episodes in the EU countries
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.
- DOI
- 10.1016/j.jfs.2017.07.004
- Volume
- 32
- Pages
- 30-56
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex