A single composite financial stress indicator and its real impact in the euro area
AbstractIn this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt crisis and to be able to serve as an early warning indicator for negative impacts of financial stress on the real economy. --
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Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Papers with number 31/2013.
Date of creation: 2013
Date of revision:
financial stress indicator; predictability; financial crisis; real economy;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G01 - Financial Economics - - General - - - Financial Crises
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-02 (All new papers)
- NEP-BAN-2013-10-02 (Banking)
- NEP-CBA-2013-10-02 (Central Banking)
- NEP-EEC-2013-10-02 (European Economics)
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