How many factors and shocks cause financial stress?


Kappler, Marcus ; Schleer, Frauke


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URL: https://ub-madoc.bib.uni-mannheim.de/35262
URN: urn:nbn:de:bsz:180-madoc-352628
Document Type: Working paper
Year of publication: 2013
The title of a journal, publication series: ZEW Discussion Papers
Volume: 13-100
Place of publication: Mannheim
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: C38 , G01,
Keywords (English): Financial stress , dynamic factor models , financial crisis , euro area
Abstract: The aim of this paper is to assess the dimension of factors and shocks that drive financial conditions, and in particular financial stress in the euro area. A second aim is to construct summary indices on the conditions and level of stress in financial markets with the aid of a dynamic factor model. By analysing 149 newly compiled monthly time series on financial market conditions in the euro area, our results suggest that the data respond quite differently to fundamental shocks to financial markets but the dimension of these shocks is rather limited. Consequently, countries or segments of the financial sector in the euro area react fairly heterogonously to such shocks. We estimate several common factors and by means of an exploratory analysis we give them an economic interpretation. We find that the existence of a "Periphery Banking Crisis" factor, a "Stress" factor and a "Yield Curve" factor explains the bulk of variation in recent euro area financial sector data.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Kappler, Marcus ; Schleer, Frauke (2013) How many factors and shocks cause financial stress? Open Access ZEW Discussion Papers Mannheim 13-100 [Working paper]
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