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A financial systemic stress index for Greece

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  • Louzis, Dimitrios
  • Vouldis, Angelos

Abstract

The paper develops a financial systemic stress index (FSSI) for Greece. We present a methodology for constructing and evaluating a systemic stress index which: i) adopts the suggestion of Hollo et al. (2012) [Hollo, Kremer, and Lo Duca (2012) JEL Classification: G01, G10, G20, E44

Suggested Citation

  • Louzis, Dimitrios & Vouldis, Angelos, 2013. "A financial systemic stress index for Greece," Working Paper Series 1563, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20131563
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    References listed on IDEAS

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    More about this item

    Keywords

    financial crisis; multivariate GARCH; stress index; systemic stress;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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