FISS - A Factor Based Index of Systemic Stress in the Financial System
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More about this item
Keywords
Systemic stress; Financial Stress Index; Dynamic Bayesian Factor Model; Financial System; Macroprudential Toolkit.;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2017-10-15 (Central Banking)
- NEP-MAC-2017-10-15 (Macroeconomics)
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