Show simple item record

dc.contributor.authorAboura, Sofiane*
dc.contributor.authorvan Roye, Björn*
dc.date.accessioned2014-08-26T08:24:43Z
dc.date.available2014-08-26T08:24:43Z
dc.date.issued2013-03
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13807
dc.language.isoenen
dc.subjectFinancial Stress Indexen
dc.subjectFinancial Systemsen
dc.subjectRecessionsen
dc.subjectSlowdownsen
dc.subjectFinancial Crisesen
dc.subject.ddc332en
dc.subject.classificationjelE.E5.E50en
dc.subject.classificationjelE.E6.E60en
dc.subject.classificationjelF.F3.F30en
dc.subject.classificationjelG.G2.G20en
dc.subject.classificationjelG.G1.G14en
dc.titleFinancial stress and economic dynamics: An application to Franceen
dc.typeDocument de travail / Working paper
dc.contributor.editoruniversityotherKiel Institute for the World Economy;Allemagne
dc.description.abstractenIn this paper, we develop a financial stress index for France that can be used as a real-time composite indicator for the state of financial stability in France. We take 17 financial variables from different market segments and extract a common stress component using a dynamic approximate factor model. We estimate the model with a combined maximum-likelihood and Expectation-Maximization algorithm allowing for mixed frequencies and an arbitrary pattern of missing data. Using a Markov-Switching Bayesian VAR model, we show that an episode of high financial stress is associated with significantly lower economic activity, whereas movements in the index in a low-stress regime do not incur significant changes in economic activity. Therefore, this index can be used in real time as an early warning signal of systemic risk in the French financial sector.en
dc.identifier.citationpages29en
dc.relation.ispartofseriestitleKiel Working Paperen
dc.relation.ispartofseriesnumber1834en
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
hal.person.labIds1032*
hal.person.labIds23500*
hal.identifierhal-01526393*


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record