Macroeconomics

Financial system

World Wide Web

Business cycle

Financial market

Economics

Computer science

Business

Index (typography)

Systemic risk

International economics

Finance

Financial crisis

European union

Journal of Financial Stability

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.

Dating systemic financial stress episodes in the EU countries