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

Mevlud Islami and Jeong-Ryeol Kurz-Kim

No 31/2013, Discussion Papers from Deutsche Bundesbank

Abstract: 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.

Keywords: financial stress indicator; predictability; financial crisis; real economy (search for similar items in EconPapers)
JEL-codes: C12 G01 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ban, nep-cba and nep-eec
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:312013

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