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Der Einfluss von Finanzmarktstress auf die Konjunktur in Deutschland

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  • van Roye, Björn

Abstract

Starke Verwerfungen an den Finanzmärkten strahlen typischerweise negativ auf die realwirtschaftliche Aktivität aus. So entwickelte sich nach dem Kollaps von Lehman Brothers eine Systemkrise im Bankensystem, die nur unter Einsatz umfassender wirtschaftspolitischer Interventionen unter Kontrolle gebracht werden konnte. Seit diesen einschneidenden Ereignissen hat die Untersuchung von Finanzmarktindikatoren merklich an Bedeutung gewonnen und ist auch für die Analyse der realwirtschaftlichen Entwicklung immer weiter in den Vordergrund gerückt. Vor diesem Hintergrund berechnen wir seit einiger Zeit einen Finanzmarktstressindikator für Deutschland und den Euroraum, der eine Reihe von Finanzmarktindikatoren in einem Maß zusammenfasst. Der ursprüngliche Indikator enthielt acht Finanzmarktvariablen und wurde anhand eines Faktormodells mittels der Hauptkomponentenanalyse ab 1999 errechnet. In diesem Kasten wird ein aktualisierter Finanzmarktstressindikator (FMSI) vorgestellt, der eine erhöhte Anzahl von Variablen beinhaltet, einen längeren Zeithorizont umfasst (ab 1980) sowie mit einer verbesserten Methode geschätzt wird. Zudem wird anhand dieses Indikators der Einfluss von Finanzmarktstress auf die deutsche Konjunktur untersucht.

Suggested Citation

  • van Roye, Björn, 2011. "Der Einfluss von Finanzmarktstress auf die Konjunktur in Deutschland," Kiel Insight 2011.19, Kiel Institute for the World Economy (IfW Kiel).
    • Handle: RePEc:zbw:ifwbox:201119
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    References listed on IDEAS

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    1. Tim Ng, 2011. "The predictive content of financial cycle measures for output fluctuations," BIS Quarterly Review, Bank for International Settlements, June.
    2. Boysen-Hogrefe, Jens & Gern, Klaus-Jürgen & van Roye, Björn & Scheide, Joachim, 2010. "Euroraum: Konjunktur trotz Schuldenkrise aufwärtsgerichtet," Open Access Publications from Kiel Institute for the World Economy 45575, Kiel Institute for the World Economy (IfW Kiel).
    3. Blix Grimaldi, Marianna, 2010. "Detecting and interpreting financial stress in the euro area," Working Paper Series 1214, European Central Bank.
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