A single composite financial stress indicator and its real impact in the euro area

Mevlud Islami; Jeong-Ryeol Kurz-Kim

In 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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Year of publication:	2013
Authors:	Islami, Mevlud ; Kurz-Kim, Jeong-Ryeol
Publisher:	Frankfurt am Main : Dt. Bundesbank
Subject:	Financial stress indicator \| predictability \| financial crisis \| real economy \| Finanzkrise \| Financial crisis \| Eurozone \| Euro area \| EU-Staaten \| EU countries \| Wirtschaftsindikator \| Economic indicator \| Finanzmarkt \| Financial market \| Index \| Index number

Extent:	Online-Ressource (12, [3] S.) graph. Darst.
Series:	Discussion paper. - Frankfurt am Main : Deutsche Bundesbank, ISSN 2941-7503, ZDB-ID 2660941-1. - Vol. 31/2013
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
ISBN:	978-3-86558-948-4 ; 978386559477
Other identifiers:	hdl:10419/82624 [Handle]
Classification:	C12 - Hypothesis Testing ; G01 - Financial Crises ; Konjunktur ; Geld, Inflation, Kapitalmarkt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009792981