A SINGLE COMPOSITE FINANCIAL STRESS INDICATOR AND ITS REAL IMPACT IN THE EURO AREA
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 deb...
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| Veröffentlicht in: | International journal of finance and economics 2014-07, Vol.19 (3), p.204-211 |
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| container_end_page | 211 |
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| container_issue | 3 |
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| container_title | International journal of finance and economics |
| container_volume | 19 |
| creator | Islami, Mevlud Kurz-Kim, Jeong-Ryeol |
| description | 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. Copyright © 2013 John Wiley & Sons, Ltd. |
| doi_str_mv | 10.1002/ijfe.1483 |
| format | Article |
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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. Copyright © 2013 John Wiley & Sons, Ltd.</description><identifier>ISSN: 1076-9307</identifier><identifier>EISSN: 1099-1158</identifier><identifier>DOI: 10.1002/ijfe.1483</identifier><language>eng</language><publisher>Chichester: Blackwell Publishing Ltd</publisher><subject>causality ; cointegration ; Economic crisis ; Economic impact ; Eurozone ; financial crisis ; Financial stress indicator ; Indexes ; real economy ; Sovereign debt ; Studies</subject><ispartof>International journal of finance and economics, 2014-07, Vol.19 (3), p.204-211</ispartof><rights>Copyright © 2013 John Wiley & Sons, Ltd.</rights><rights>Copyright Wiley Periodicals Inc. Jul 2014</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c4343-87e35fc9c11297c8af53ee51ba7f36bb199328af97a96f3eaabcbe8555f11f243</citedby><cites>FETCH-LOGICAL-c4343-87e35fc9c11297c8af53ee51ba7f36bb199328af97a96f3eaabcbe8555f11f243</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1002%2Fijfe.1483$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1002%2Fijfe.1483$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,780,784,1417,27924,27925,45574,45575</link.rule.ids></links><search><creatorcontrib>Islami, Mevlud</creatorcontrib><creatorcontrib>Kurz-Kim, Jeong-Ryeol</creatorcontrib><title>A SINGLE COMPOSITE FINANCIAL STRESS INDICATOR AND ITS REAL IMPACT IN THE EURO AREA</title><title>International journal of finance and economics</title><addtitle>Int. J. Fin. Econ</addtitle><description>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. Copyright © 2013 John Wiley & Sons, Ltd.</description><subject>causality</subject><subject>cointegration</subject><subject>Economic crisis</subject><subject>Economic impact</subject><subject>Eurozone</subject><subject>financial crisis</subject><subject>Financial stress indicator</subject><subject>Indexes</subject><subject>real economy</subject><subject>Sovereign debt</subject><subject>Studies</subject><issn>1076-9307</issn><issn>1099-1158</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><recordid>eNp1kE9Lw0AQxRdRsFYPfoMFTx7S7mSz2ewxpGm7JX9KktLjkoRdSK1WkxbttzehxZunGeb93ht4CD0DmQAh9rTZGT0Bx6M3aARECAuAebfDzl1LUMLv0UPX7QghLuNkhDIf5zJZRCEO0nid5rII8VwmfhJIP8J5kYV5jmUyk4FfpBn2kxmWRY6zsFdlvPaDoldxsQxxuMlS7PfCI7oz5b7TT9c5Rpt5WARLK0oXfUxk1Q51qOVxTZmpRQ1gC157pWFUawZVyQ11qwqEoHZ_FbwUrqG6LKu60h5jzAAY26Fj9HLJ_WwPXyfdHdXucGo_-pcKGLPBcQBoT71eqLo9dF2rjfpsm_eyPSsgaqhMDZWpobKenV7Y72avz_-DSq7m4dVhXRxNd9Q_f46yfVMup5ypbbJQ8TaeBctopQT9BcHKdHk</recordid><startdate>201407</startdate><enddate>201407</enddate><creator>Islami, Mevlud</creator><creator>Kurz-Kim, Jeong-Ryeol</creator><general>Blackwell Publishing Ltd</general><general>Wiley Periodicals Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>201407</creationdate><title>A SINGLE COMPOSITE FINANCIAL STRESS INDICATOR AND ITS REAL IMPACT IN THE EURO AREA</title><author>Islami, Mevlud ; Kurz-Kim, Jeong-Ryeol</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c4343-87e35fc9c11297c8af53ee51ba7f36bb199328af97a96f3eaabcbe8555f11f243</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>causality</topic><topic>cointegration</topic><topic>Economic crisis</topic><topic>Economic impact</topic><topic>Eurozone</topic><topic>financial crisis</topic><topic>Financial stress indicator</topic><topic>Indexes</topic><topic>real economy</topic><topic>Sovereign debt</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Islami, Mevlud</creatorcontrib><creatorcontrib>Kurz-Kim, Jeong-Ryeol</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><jtitle>International journal of finance and economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Islami, Mevlud</au><au>Kurz-Kim, Jeong-Ryeol</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A SINGLE COMPOSITE FINANCIAL STRESS INDICATOR AND ITS REAL IMPACT IN THE EURO AREA</atitle><jtitle>International journal of finance and economics</jtitle><addtitle>Int. J. Fin. Econ</addtitle><date>2014-07</date><risdate>2014</risdate><volume>19</volume><issue>3</issue><spage>204</spage><epage>211</epage><pages>204-211</pages><issn>1076-9307</issn><eissn>1099-1158</eissn><abstract>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. Copyright © 2013 John Wiley & Sons, Ltd.</abstract><cop>Chichester</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1002/ijfe.1483</doi><tpages>8</tpages><oa>free_for_read</oa></addata></record> |
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| ispartof | International journal of finance and economics, 2014-07, Vol.19 (3), p.204-211 |
| issn | 1076-9307 1099-1158 |
| language | eng |
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| source | EBSCOhost Business Source Complete; Access via Wiley Online Library |
| subjects | causality cointegration Economic crisis Economic impact Eurozone financial crisis Financial stress indicator Indexes real economy Sovereign debt Studies |
| title | A SINGLE COMPOSITE FINANCIAL STRESS INDICATOR AND ITS REAL IMPACT IN THE EURO AREA |
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