Dovern, Jonas; Roye, Björn van - Institut für Weltwirtschaft (IfW) - 2013
We analyze the international transmission of financial stress and its effects on economic activity. We construct … country specific monthly financial stress indexes (FSI) using dynamic factor models from 1970 until 2012 for 20 countries. We … financial stress and its impact on economic activity in a Global VAR (GVAR) model. We show that i) financial stress is quickly …