C54 - Quantitative Policy Modeling

• Dating Systemic Financial Stress Episodes in the EU Countries

  Staff Working Paper 2016-11 Thibaut Duprey, Benjamin Klaus, Tuomas Peltonen

  This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Economic models, Financial markets, Financial stability, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): C, C5, C54, G, G0, G01, G1, G15