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CISS - a composite indicator of systemic stress in the financial system

Citations

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Cited by:

  1. Shaen Corbet & Cian Twomey, 2014. "An index of financial market stress for the United Kingdom," Economics and Business Letters, Oviedo University Press, vol. 3(2), pages 127-133.
  2. Miroslav Plašil & Jakub Seidler & Petr Hlaváč, 2016. "A New Measure of the Financial Cycle: Application to the Czech Republic," Eastern European Economics, Taylor & Francis Journals, vol. 54(4), pages 296-318, July.
  3. Nyman, Rickard & Kapadia, Sujit & Tuckett, David, 2021. "News and narratives in financial systems: Exploiting big data for systemic risk assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  4. Morana, Claudio, 2024. "A new macro-financial condition index for the euro area," Econometrics and Statistics, Elsevier, vol. 29(C), pages 64-87.
  5. Martin Feldkircher & Thomas Gruber & Florian Huber, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," Department of Economics Working Papers wuwp248, Vienna University of Economics and Business, Department of Economics.
  6. Zaghini, Andrea, 2016. "Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?," Journal of Financial Stability, Elsevier, vol. 23(C), pages 51-61.
  7. Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
  8. Darko Kovacevic, 2021. "Assessment of the Republic of Serbia's Systemic Risk and the Likelihood of a Systemic Crisis," Working Papers Bulletin 2, National Bank of Serbia.
  9. Szendrei, Tibor & Varga, Katalin, 2023. "Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution," Economics Letters, Elsevier, vol. 223(C).
  10. Lucia Alessi & Mark Kerssenfischer, 2019. "The response of asset prices to monetary policy shocks: Stronger than thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 661-672, August.
  11. Andreas Sachs, 2013. "Governance Structures in Europe. WWWforEurope Deliverable No. 2," WIFO Studies, WIFO, number 47023, August.
  12. repec:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p5296ie95 is not listed on IDEAS
  13. Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014. "Nonlinearities in sovereign risk pricing the role of cds index contracts," Working Papers hal-03460263, HAL.
  14. Zouheir Ahmed Mighri & Majid Ibrahim Alsaggaf, 2019. "Asymmetric Threshold Cointegration and Nonlinear Adjustment between Oil Prices and Financial Stress," International Journal of Energy Economics and Policy, Econjournals, vol. 9(3), pages 87-105.
  15. repec:hal:spmain:info:hdl:2441/7986np0ssj9fu9fg833t5dehhf is not listed on IDEAS
  16. Grzegorz Hałaj & Christoffer Kok, 2013. "Assessing interbank contagion using simulated networks," Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
  17. Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.
  18. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
  19. Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2021. "The impact of uncertainty shocks in South Africa: The role of financial regimes," Review of Financial Economics, John Wiley & Sons, vol. 39(4), pages 442-454, October.
  20. Schüler, Yves Stephan & Hiebert, Paul P. & Peltonen, Tuomas A., 2015. "Characterising the financial cycle: A multivariate and time-varying approach," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112985, Verein für Socialpolitik / German Economic Association.
  21. Borgioli, Stefano & Kochanska, Urszula & Mongelli, Francesco Paolo & Zito, Alessandro, 2023. "A novel high‐frequency indicator of financial integration for monitoring the impact of COVID-19," Statistics Paper Series 43, European Central Bank.
  22. Maria Afreen, 2020. "Review Paper on Composite Leading Index Creation for Forecasting the Bangladeshi Financial Sector," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 9(4), pages 23-32, October.
  23. repec:hal:spmain:info:hdl:2441/4s2r6d8kua98d9veu2un1vm9vh is not listed on IDEAS
  24. Bors ISAC, 2015. "VAR Methodology in Assessment of the Financial Stability," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 93-98.
  25. Apostolakis, George N. & Giannellis, Nikolaos, 2024. "Monetary policy and uncertainty spillovers: Evidence from a wavelet and frequency connectedness analysis," International Review of Financial Analysis, Elsevier, vol. 95(PC).
  26. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2020. "The role of ECB monetary policy and financial stress on Eurozone sovereign yields," Empirical Economics, Springer, vol. 59(3), pages 1189-1211, September.
  27. Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01592147, HAL.
  28. Timothy Bianco & Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2012. "Financial stress index: a lens for supervising the financial system," Working Papers (Old Series) 12-37, Federal Reserve Bank of Cleveland.
  29. Judith Eidenberger & Benjamin Neudorfer & Michael Sigmund & Ingrid Stein, 2013. "Quantifying Financial Stability in Austria, New Tools for Macroprudential Supervision," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 26, pages 62-81.
  30. Sarlin, Peter & Peltonen, Tuomas A., 2013. "Mapping the state of financial stability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 46-76.
  31. Bekaert, Geert & Hoerova, Marie, 2016. "What do asset prices have to say about risk appetite and uncertainty?," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 103-118.
  32. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "On the efficient synthesis of short financial time series: A Dynamic Factor Model approach," Finance Research Letters, Elsevier, vol. 53(C).
  33. repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oqi4ibn is not listed on IDEAS
  34. Nasreen, Samia & Anwar, Sofia & Ozturk, Ilhan, 2017. "Financial stability, energy consumption and environmental quality: Evidence from South Asian economies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 67(C), pages 1105-1122.
  35. Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks?," Working Papers 1926, Banco de España.
  36. Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2024. "Temporal networks and financial contagion," Journal of Financial Stability, Elsevier, vol. 71(C).
  37. Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2021. "Multimodality In Macrofinancial Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 861-886, May.
  38. Marco Fruzzetti & Giulio Gariano & Gerardo Palazzo & Antonio Scalia, 2021. "From SMP to PEPP: a further look at the risk endogeneity of the Central Bank," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 11, Bank of Italy, Directorate General for Markets and Payment System.
  39. Vašíček, Bořek & Žigraiová, Diana & Hoeberichts, Marco & Vermeulen, Robert & Šmídková, Kateřina & de Haan, Jakob, 2017. "Leading indicators of financial stress: New evidence," Journal of Financial Stability, Elsevier, vol. 28(C), pages 240-257.
  40. Daniel Levy & Tamir Mayer & Alon Raviv, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," Working Papers 2020-01, Bar-Ilan University, Department of Economics.
  41. Sofya Kolesnik & Elizaveta Dobronravova, 2022. "Modelling the Effects of Unconventional Monetary Policy in a Heterogeneous Monetary Union," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 3-22, March.
  42. Silvestrini, Andrea & Zaghini, Andrea, 2015. "Financial shocks and the real economy in a nonlinear world: From theory to estimation," Journal of Policy Modeling, Elsevier, vol. 37(6), pages 915-929.
  43. De Santis, Roberto A. & Zaghini, Andrea, 2021. "Unconventional monetary policy and corporate bond issuance," European Economic Review, Elsevier, vol. 135(C).
  44. Sheng, Xin & Kim, Won Joong & Gupta, Rangan & Ji, Qiang, 2023. "The impacts of oil price volatility on financial stress: Is the COVID-19 period different?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 520-532.
  45. Zaghini, Andrea, 2024. "Unconventional green," Journal of Corporate Finance, Elsevier, vol. 85(C).
  46. repec:spo:wpmain:info:hdl:2441/6b3bdv9unt9mspi3ri2ff917d6 is not listed on IDEAS
  47. Aboura, Sofiane & van Roye, Björn, 2013. "Financial stress and economic dynamics: An application to France," Kiel Working Papers 1834, Kiel Institute for the World Economy (IfW Kiel).
  48. Wilmar Cabrera & Jorge Hurtado & Miguel Morales & Juan Sebastián Rojas, 2014. "A Composite Indicator of Systemic Stress (CISS) for Colombia," Borradores de Economia 826, Banco de la Republica de Colombia.
  49. Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2020. "Forecasting financial stress indices in Korea: a factor model approach," Empirical Economics, Springer, vol. 59(6), pages 2859-2898, December.
  50. Yao, Xiaoyang & Le, Wei & Sun, Xiaolei & Li, Jianping, 2020. "Financial stress dynamics in China: An interconnectedness perspective," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 217-238.
  51. An, Hui & Wang, Hao & Delpachitra, Sarath & Cottrell, Simon & Yu, Xiao, 2022. "Early warning system for risk of external liquidity shock in BRICS countries," Emerging Markets Review, Elsevier, vol. 51(PA).
  52. Sebastian Ankargren & Mårten Bjellerup & Hovick Shahnazarian, 2017. "The importance of the financial system for the real economy," Empirical Economics, Springer, vol. 53(4), pages 1553-1586, December.
  53. Hoffmann, Peter & Kremer, Manfred & Zaharia, Sonia, 2020. "Financial integration in Europe through the lens of composite indicators," Economics Letters, Elsevier, vol. 194(C).
  54. Hans Byström, 2015. "Credit‐Implied Equity Volatility—Long‐Term Forecasts and Alternative Fear Gauges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(8), pages 753-775, August.
  55. Kurowski, Łukasz Kamil & Rogowicz, Karol, 2017. "Negative interest rates as systemic risk event," Finance Research Letters, Elsevier, vol. 22(C), pages 153-157.
  56. László Békési & Lorant Kaszab & Szabolcs Szentmihályi, 2017. "The EAGLE model for Hungary - a global perspective," MNB Working Papers 2017/7, Magyar Nemzeti Bank (Central Bank of Hungary).
  57. Giri, Federico, 2018. "Does interbank market matter for business cycle fluctuation? An estimated DSGE model with financial frictions for the Euro area," Economic Modelling, Elsevier, vol. 75(C), pages 10-22.
  58. Francisco Serranito & Philipp RODERWEIS & Jamel Saadaoui, 2023. "Is Quantitative Easing Productive? The Role of Bank Lending in the Monetary Transmission Process," EconomiX Working Papers 2023-17, University of Paris Nanterre, EconomiX.
  59. Ugo Albertazzi & Andrea Nobili & Federico M. Signoretti, 2021. "The Bank Lending Channel of Conventional and Unconventional Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 261-299, March.
  60. Michal Franta, 2016. "The Effect of Nonlinearity between Credit Conditions and Economic Activity on Density Forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(2), pages 147-166, March.
  61. MacDonald, Ronald & Sogiakas, Vasilios & Tsopanakis, Andreas, 2018. "Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 17-36.
  62. Victor Echevarria Icaza & Simón Sosvilla-Rivero, 2017. "Yields on sovereign debt, fragmentation and monetary policy transmission in the euro area: A GVAR approach," Working Papers 17-01, Asociación Española de Economía y Finanzas Internacionales.
  63. Merike Kukk & Alari Paulus & Nicolas Reigl, 2022. "Credit market concentration and systemic risk in Europe," Bank of Estonia Working Papers wp2022-4, Bank of Estonia, revised 24 Mar 2022.
  64. Yun, Jaeho & Moon, Hyejung, 2014. "Measuring systemic risk in the Korean banking sector via dynamic conditional correlation models," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 94-114.
  65. Julian S. Leppin & Stefan Reitz, 2016. "The Role of a Changing Market Environment for Credit Default Swap Pricing," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(3), pages 209-223, July.
  66. Rémy Charleroy & Michael A. Stemmer, 2014. "An Emerging Market Financial Conditions Index: A VAR Approach," Documents de travail du Centre d'Economie de la Sorbonne 14068, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  67. Barbu, Alexandru & Fricke, Christoph & ,, 2020. "Procyclical Asset Management and Bond Risk Premia," CEPR Discussion Papers 15123, C.E.P.R. Discussion Papers.
  68. Andisheh Saliminezhad & Pejman Bahramian, 2021. "The role of financial stress in the economic activity: Fresh evidence from a Granger‐causality in quantiles analysis for the UK and Germany," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1670-1680, April.
  69. Botelho, Vasco & Foroni, Claudia & Renzetti, Andrea, 2024. "Labour at risk," European Economic Review, Elsevier, vol. 170(C).
  70. Tibor Szendrei & Katalin Varga, 2020. "FISS - A Factor-based Index of Systemic Stress in the Financial System," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 3-34, March.
  71. Jérôme Creel & Paul Hubert & Fabien Labondance, 2021. "The intertwining of credit and banking fragility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 459-475, January.
  72. Liu, Min & Guo, Tongji & Ping, Weiying & Luo, Liangqing, 2023. "Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?," Energy Economics, Elsevier, vol. 121(C).
  73. Acharya, Viral V. & Imbierowicz, Björn & Steffen, Sascha & Teichmann, Daniel, 2020. "Does the lack of financial stability impair the transmission of monetary policy?," Journal of Financial Economics, Elsevier, vol. 138(2), pages 342-365.
  74. repec:spo:wpmain:info:hdl:2441/7986np0ssj9fu9fg833t5dehhf is not listed on IDEAS
  75. Schleer, Frauke & Semmler, Willi, 2015. "Financial sector and output dynamics in the euro area: Non-linearities reconsidered," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 235-263.
  76. Creel, Jérôme & Hubert, Paul & Labondance, Fabien, 2015. "Financial stability and economic performance," Economic Modelling, Elsevier, vol. 48(C), pages 25-40.
  77. Denis Beau & Christophe Cahn & Laurent Clerc & Benoît Mojon, 2014. "Macro-Prudential Policy and the Conduct of Monetary Policy," Central Banking, Analysis, and Economic Policies Book Series, in: Sofía Bauducco & Lawrence Christiano & Claudio Raddatz (ed.),Macroeconomic and Financial Stability: challenges for Monetary Policy, edition 1, volume 19, chapter 9, pages 273-314, Central Bank of Chile.
  78. Lo Duca, Marco & Koban, Anne & Basten, Marisa & Bengtsson, Elias & Klaus, Benjamin & Kusmierczyk, Piotr & Lang, Jan Hannes & Detken, Carsten & Peltonen, Tuomas, 2017. "A new database for financial crises in European countries," Occasional Paper Series 194, European Central Bank.
  79. Gertler, Pavel & Horvath, Roman, 2018. "Central bank communication and financial markets: New high-frequency evidence," Journal of Financial Stability, Elsevier, vol. 36(C), pages 336-345.
  80. Tomas Adam & Sona Benecka & Jakub Mateju, 2014. "Risk Aversion, Financial Stress and Their Non-Linear Impact on Exchange Rates," Working Papers 2014/07, Czech National Bank.
  81. António Afonso & Michael G. Arghyrou & Alexandros Kontonikas, 2012. "The determinants of sovereign bond yield spreads in the EMU," Working Papers 2012_14, Business School - Economics, University of Glasgow.
  82. Chuliá, Helena & Garrón, Ignacio & Uribe, Jorge M., 2024. "Daily growth at risk: Financial or real drivers? The answer is not always the same," International Journal of Forecasting, Elsevier, vol. 40(2), pages 762-776.
  83. Yafeng Shi & Tingting Ying & Yanlong Shi & Chunrong Ai, 2020. "A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1025-1034, November.
  84. Sánchez García, Javier & Cruz Rambaud, Salvador, 2023. "Inflation and systemic risk: A network econometric model," Finance Research Letters, Elsevier, vol. 56(C).
  85. Nina Boyarchenko & Richard K. Crump & Anna Kovner & Or Shachar, 2021. "Corporate Bond Market Distress," Staff Reports 957, Federal Reserve Bank of New York.
  86. Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2023. "Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach," Working Paper Series 2833, European Central Bank.
  87. repec:zbw:bofrdp:2018_016 is not listed on IDEAS
  88. Qin, Xiao, 2020. "Oil shocks and financial systemic stress: International evidence," Energy Economics, Elsevier, vol. 92(C).
  89. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
  90. repec:hal:wpspec:info:hdl:2441/f6h8764enu2lskk9p5296ie95 is not listed on IDEAS
  91. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
  92. Langedijk, Sven & Monokroussos, George & Papanagiotou, Evangelia, 2015. "Benchmarking Liquidity Proxies: Accounting for Dynamics and Frequency Issues," MPRA Paper 61865, University Library of Munich, Germany.
  93. Eidenberger, Judith & Neudorfer, Benjamin & Sigmund, Michael & Stein, Ingrid, 2014. "What predicts financial (in)stability? A Bayesian approach," Discussion Papers 36/2014, Deutsche Bundesbank.
  94. Ellis, Scott & Sharma, Satish & Brzeszczyński, Janusz, 2022. "Systemic risk measures and regulatory challenges," Journal of Financial Stability, Elsevier, vol. 61(C).
  95. Park, Cyn-Young & Mercado, Rogelio V., 2014. "Determinants of financial stress in emerging market economies," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 199-224.
  96. Costola, Michele & Iacopini, Matteo, 2023. "Measuring sovereign bond fragmentation in the Eurozone," Finance Research Letters, Elsevier, vol. 51(C).
  97. Mikhail V. Oet & John M. Dooley & Stephen J. Ong, 2015. "The Financial Stress Index: Identification of Systemic Risk Conditions," Risks, MDPI, vol. 3(3), pages 1-25, September.
  98. Santiago García-Verdú & Manuel Ramos-Francia, 2016. "On the costs of deflation: a consumption-based approach," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 247-273, Bank for International Settlements.
  99. Zaghini, Andrea, 2019. "The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 282-297.
  100. Arrigoni, Simone & Bobasu, Alina & Venditti, Fabrizio, 2020. "The simpler the better: measuring financial conditions for monetary policy and financial stability," Working Paper Series 2451, European Central Bank.
  101. Zaghini, Andrea, 2021. "The Covid pandemic in the market: infected, immune and cured bonds," Working Paper Series 2563, European Central Bank.
  102. Nyholm, Juho & Silvo, Aino, 2022. "A model for predicting Finnish household loan stocks," BoF Economics Review 4/2022, Bank of Finland.
  103. Carmelo Salleo & Alberto Grassi & Constantinos Kyriakopoulos, 2020. "A Comprehensive Approach for Calculating Banking Sector Risks," IJFS, MDPI, vol. 8(4), pages 1-21, November.
  104. Milan Szabo, 2022. "Meeting investor outflows in Czech bond and equity funds: horizontal or vertical?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(4), pages 1123-1151, November.
  105. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2018. "Measuring systemic vulnerability in European banking systems," Journal of Financial Stability, Elsevier, vol. 36(C), pages 279-292.
  106. De Santis, Roberto A., 2020. "Impact of the Asset Purchase Programme on euro area government bond yields using market news," Economic Modelling, Elsevier, vol. 86(C), pages 192-209.
  107. Ján Malega & Roman Horváth, 2017. "Financial Stress in the Czech Republic: Measurement and Effects on the Real Economy," Prague Economic Papers, Prague University of Economics and Business, vol. 2017(3), pages 257-268.
  108. Thibaut Duprey & Benjamin Klaus, 2017. "How to Predict Financial Stress? An Assessment of Markov Switching Models," Staff Working Papers 17-32, Bank of Canada.
  109. Ferrara, Laurent & Mogliani, Matteo & Sahuc, Jean-Guillaume, 2022. "High-frequency monitoring of growth at risk," International Journal of Forecasting, Elsevier, vol. 38(2), pages 582-595.
  110. Magdalena Erdem & Kostas Tsatsaronis, 2013. "Financial conditions and economic activity: a statistical approach," BIS Quarterly Review, Bank for International Settlements, March.
  111. Jerome Creel & Paul Hubert & Fabien Labondance, 2015. "The intertwining of financialisation and financial instability," Documents de Travail de l'OFCE 2015-14, Observatoire Francais des Conjonctures Economiques (OFCE).
  112. repec:hal:spmain:info:hdl:2441/6b3bdv9unt9mspi3ri2ff917d6 is not listed on IDEAS
  113. Angela Abbate & Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2016. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 573-601, June.
  114. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
  115. Ramiro Losada & Ricardo Laborda, 2020. "Non-alternative collective investment schemes, connectedness and systemic risk," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
  116. Brum-Civelli, Conrado & Fried-Gindel, Alejandro & Garcia-Hiernaux, Alfredo, 2024. "IFCI-SA: International financial conditions index for South American economies," Research in International Business and Finance, Elsevier, vol. 72(PA).
  117. Bacchiocchi, Emanuele & Dragomirescu-Gaina, Catalin, 2024. "Uncertainty spill-overs: When policy and financial realms overlap," Journal of International Money and Finance, Elsevier, vol. 143(C).
  118. Evgenidis, Anastasios, 2018. "Do all oil price shocks have the same impact? Evidence from the euro area," Finance Research Letters, Elsevier, vol. 26(C), pages 150-155.
  119. Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
  120. Carpenter, Seth & Demiralp, Selva & Schlusche, Bernd & Senyuz, Zeynep, 2014. "Measuring stress in money markets: A dynamic factor approach," Economics Letters, Elsevier, vol. 125(1), pages 101-106.
  121. Mr. Nicolas Arregui & Mr. Selim A Elekdag & Mr. Gaston Gelos & Romain Lafarguette & Dulani Seneviratne, 2018. "Can Countries Manage Their Financial Conditions Amid Globalization?," IMF Working Papers 2018/015, International Monetary Fund.
  122. Fengler, Matthias & Polivka, Jeannine, 2022. "Structural Volatility Impulse Response Analysis," Economics Working Paper Series 2211, University of St. Gallen, School of Economics and Political Science, revised Nov 2022.
  123. Björn Roye, 2014. "Financial stress and economic activity in Germany," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(1), pages 101-126, February.
  124. Benigno Pierpaolo & Canofari Paolo & Di Bartolomeo Giovanni & Messori Marcello, 2020. "Uncertainty and the Pandemic Shocks," wp.comunite 00148, Department of Communication, University of Teramo.
  125. Phillip Monin, 2017. "The OFR Financial Stress Index," Working Papers 17-04, Office of Financial Research, US Department of the Treasury.
  126. Schüler, Yves S. & Peltonen, Tuomas A. & Hiebert, Paul, 2017. "Coherent financial cycles for G-7 countries: Why extending credit can be an asset," ESRB Working Paper Series 43, European Systemic Risk Board.
  127. Fernandez, Raul & Palma Guizar, Brenda & Rho, Caterina, 2021. "A sentiment-based risk indicator for the Mexican financial sector," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(3).
  128. David Cronin & Peter Dunne & Kieran McQuinn, 2019. "Have Irish Sovereign Bonds Decoupled from the Euro Area Periphery, and Why?," The Economic and Social Review, Economic and Social Studies, vol. 50(3), pages 529-556.
  129. Corina SAMAN, 2016. "The Impact of the US and Euro Area Financial Systemic Stress to the Romanian Economy," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 170-183, December.
  130. Luca Baldo & Elisa Bonifacio & Marco Brandi & Michelina Lo Russo & Gianluca Maddaloni & Andrea Nobili & Giorgia Rocco & Gabriele Sene & Massimo Valentini, 2021. "Inside the black box: tools for understanding cash circulation," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 7, Bank of Italy, Directorate General for Markets and Payment System.
  131. Levy, Daniel & Mayer, Tamir & Raviv, Alon, 2022. "Economists in the 2008 financial crisis: Slow to see, fast to act," Journal of Financial Stability, Elsevier, vol. 60(C).
  132. Gimeno, Ruth & Andreu, Laura & Sarto, José Luis, 2022. "Fund trading divergence and performance contribution," International Review of Financial Analysis, Elsevier, vol. 83(C).
  133. Massimiliano Affinito & Matteo Piazza, 2021. "Always Look on the Bright Side? Central Counterparties and Interbank Markets during the Financial Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 17(1), pages 231-283, March.
  134. Hristov, Nikolay & Hülsewig, Oliver & Kolb, Benedikt, 2024. "Macroprudential capital regulation and fiscal balances in the euro area," Journal of International Money and Finance, Elsevier, vol. 143(C).
  135. Martin Baumgaertner & Johannes Zahner, 2021. "Whatever it takes to understand a central banker - Embedding their words using neural networks," MAGKS Papers on Economics 202130, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  136. Sleibi, Yacoub & Casalin, Fabrizio & Fazio, Giorgio, 2023. "Unconventional monetary policies and credit co-movement in the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
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