Original paper

Dating systemic financial stress episodes in the EU countries

Volume: 32, Pages: 30 - 56
Published: Oct 1, 2017
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...
Paper Details
Title
Dating systemic financial stress episodes in the EU countries
Published Date
Oct 1, 2017
Volume
32
Pages
30 - 56
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