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
Hauptverfasser:	Islami, Mevlud, Kurz-Kim, Jeong-Ryeol
Format:	Artikel
Sprache:	eng
Schlagworte:	causality cointegration Economic crisis Economic impact Eurozone financial crisis Financial stress indicator Indexes real economy Sovereign debt Studies
Online-Zugang:	Volltext
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