Aboura, Sofiane; Roye, Björn van - Institut für Weltwirtschaft (IfW) - 2013
In this paper, we develop a financial stress index for France that can be used as a real-time composite indicator for … common stress component using a dynamic approximate factor model. We estimate the model with a combined maximum … Markov-Switching Bayesian VAR model, we show that an episode of high financial stress is associated with significantly lower …