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Financial stress and economic dynamics: the transmission of crises

Author

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  • Hubrich, Kirstin
  • Tetlow, Robert J.

Abstract

A financial stress index for the United States is introduced JEL Classification: E44, C11, C32

Suggested Citation

  • Hubrich, Kirstin & Tetlow, Robert J., 2014. "Financial stress and economic dynamics: the transmission of crises," Working Paper Series 1728, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20141728
    Note: 1325881
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    References listed on IDEAS

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    More about this item

    Keywords

    Financial crises; Markov Switching; monetary policy; nonlinearity;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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