Holló, Dániel; Kremer, Manfred; Lo Duca, Marco - European Central Bank - 2012
This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of … and thus more dangerous for the economy as a whole if financial instability spreads more widely across the whole financial … system. Applied to euro area data, we determine within a threshold VAR model a systemic crisis-level of the CISS at which …