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

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 a. M. : Deutsche Bundesbank
Subject:	financial stress indicator \| predictability \| financial crisis \| real economy

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Series:	Bundesbank Discussion Paper ; 31/2013
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	9783865589484
Other identifiers:	768058228 [GVK] hdl:10419/82624 [Handle] RePEc:zbw:bubdps:312013 [RePEc]
Classification:	C12 - Hypothesis Testing ; G01 - Financial Crises
Source:	EconStor

Persistent link: https://www.econbiz.de/10010321483