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CISS - a composite indicator of systemic stress in the financial system
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Cited by:
- 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.
- 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.
- 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).
- Nyman, Rickard & Kapadia, Sujit & Tuckett, David & Gregory, David & Ormerod, Paul & Smith, Robert, 2018. "News and narratives in financial systems: exploiting big data for systemic risk assessment," Bank of England working papers 704, Bank of England.
- Morana, Claudio, 2024.
"A new macro-financial condition index for the euro area,"
Econometrics and Statistics, Elsevier, vol. 29(C), pages 64-87.
- Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Paper series 21-07, Rimini Centre for Economic Analysis, revised Sep 2021.
- Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Papers 467, University of Milano-Bicocca, Department of Economics, revised Sep 2021.
- 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.
- Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168111, Verein für Socialpolitik / German Economic Association.
- Martin, Feldkircher & Thomas, Gruber & Florian, Huber, 2019. "International effects of a compression of euro area yield curves," Working Papers in Economics 2019-1, University of Salzburg.
- Feldkircher, Martin & Gruber, Thomas & Huber, Florian, 2017. "Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy," Department of Economics Working Paper Series 248, WU Vienna University of Economics and Business.
- 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.
- Zaghini, Andrea, 2016. "Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?," CFS Working Paper Series 530, Center for Financial Studies (CFS).
- Corradin, Stefano & Heider, Florian & Hoerova, Marie, 2017. "On collateral: implications for financial stability and monetary policy," Working Paper Series 2107, European Central Bank.
- 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.
- 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).
- 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.
- Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
- Andreas Sachs, 2013. "Governance Structures in Europe. WWWforEurope Deliverable No. 2," WIFO Studies, WIFO, number 47023, August.
- repec:spo:wpecon:info:hdl:2441/f6h8764enu2lskk9p5296ie95 is not listed on IDEAS
- Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014.
"Nonlinearities in sovereign risk pricing the role of cds index contracts,"
Working Papers
hal-03460263, HAL.
- Portes, Richard & Delatte, Anne-Laure, 2014. "Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts," CEPR Discussion Papers 9898, C.E.P.R. Discussion Papers.
- Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014. "Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts," NBER Working Papers 19985, National Bureau of Economic Research, Inc.
- Anne-Laure Delatte & Julien Fouquau & Richard Portes, 2014. "Nonlinearities in sovereign risk pricing the role of cds index contracts," SciencePo Working papers Main hal-03460263, HAL.
- Anne Laure Delatte, 2014. "Nonlinearities in sovereign risk pricing the role of cds index contracts," Documents de Travail de l'OFCE 2014-08, Observatoire Francais des Conjonctures Economiques (OFCE).
- 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.
- repec:hal:spmain:info:hdl:2441/7986np0ssj9fu9fg833t5dehhf is not listed on IDEAS
- Grzegorz Hałaj & Christoffer Kok, 2013.
"Assessing interbank contagion using simulated networks,"
Computational Management Science, Springer, vol. 10(2), pages 157-186, June.
- Kok, Christoffer & Hałaj, Grzegorz, 2013. "Assessing interbank contagion using simulated networks," Working Paper Series 1506, European Central Bank.
- Mittnik, Stefan & Semmler, Willi, 2013.
"The real consequences of financial stress,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1479-1499.
- Mittnik, Stefan & Semmler, Willi, 2013. "The real consequences of financial stress," SFB 649 Discussion Papers 2013-011, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- 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).
- 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.
- Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2020. "The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes," Working Papers 202046, University of Pretoria, Department of Economics.
- 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.
- Hiebert, Paul & Peltonen, Tuomas A. & Schüler, Yves S., 2015. "Characterising the financial cycle: a multivariate and time-varying approach," Working Paper Series 1846, European Central Bank.
- 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.
- 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.
- repec:hal:spmain:info:hdl:2441/4s2r6d8kua98d9veu2un1vm9vh is not listed on IDEAS
- 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.
- 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).
- 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.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2019. "The role of ECB monetary policy and financial stress on Eurozone sovereign yields," SciencePo Working papers Main hal-03403623, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2019. "The role of ECB monetary policy and financial stress on Eurozone sovereign yields," Post-Print hal-03403623, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2020. "The role of ECB monetary policy and financial stress on Eurozone sovereign yields," Post-Print hal-02160378, HAL.
- 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.
- Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Post-Print halshs-01592147, HAL.
- Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Documents de travail du Centre d'Economie de la Sorbonne 17033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- 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.
- 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.
- 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.
- Peltonen, Tuomas A. & Sarlin, Peter, 2011. "Mapping the state of financial stability," Working Paper Series 1382, European Central Bank.
- 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.
- Bekaert, Geert & Hoerova, Marie & Scheicher, Martin, 2009. "What do asset prices have to say about risk appetite and uncertainty?," Working Paper Series 1037, European Central Bank.
- 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).
- repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oqi4ibn is not listed on IDEAS
- 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.
- 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.
- Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks?," BIS Working Papers 788, Bank for International Settlements.
- Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with Sign Restrictions Not Identify Unconventional Monetary Policy Shocks?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/973, Ghent University, Faculty of Economics and Business Administration.
- Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks ?," Working Paper Research 372, National Bank of Belgium.
- Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2024.
"Temporal networks and financial contagion,"
Journal of Financial Stability, Elsevier, vol. 71(C).
- Franch, Fabio & Nocciola, Luca & Vouldis, Angelos, 2022. "Temporal networks in the analysis of financial contagion," Working Paper Series 2667, European Central Bank.
- 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.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Multimodality in Macro-Financial Dynamics," Staff Reports 903, Federal Reserve Bank of New York.
- Boyarchenko, Nina & Adrian, Tobias & Giannone, Domenico, 2020. "Multimodality in Macro-Financial Dynamics," CEPR Discussion Papers 15088, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Borek Vašícek & Diana Žigraiová & Marco Hoeberichts & Robert Vermeulen & Katerina Šmídková & Jakob de Haan, 2015. "Leading indicators of financial stress: New evidence," DNB Working Papers 476, Netherlands Central Bank, Research Department.
- 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.
- Levy, Daniel & Mayer, Tamir & Raviv, Alon, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," EconStor Preprints 214194, ZBW - Leibniz Information Centre for Economics.
- Daniel Levy & Tamir Mayer & Alon Raviv, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," Working Paper series 20-05, Rimini Centre for Economic Analysis.
- Daniel Levy & Tamir Mayer & Alon Raviv, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," Working Papers hal-02488796, HAL.
- Levy, Daniel & Mayer, Tamir & Raviv, Alon, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," MPRA Paper 98785, University Library of Munich, Germany.
- 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.
- 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.
- Silvestrini, Andrea & Zaghini, Andrea, 2015. "Financial shocks and the real economy in a nonlinear world: From theory to estimation," CFS Working Paper Series 505, Center for Financial Studies (CFS).
- Andrea Silvestrini & Andrea Zaghini, 2015. "Financial Shocks And The Real Economy In A Nonlinear World: From Theory To Estimation," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/910, Ghent University, Faculty of Economics and Business Administration.
- De Santis, Roberto A. & Zaghini, Andrea, 2021.
"Unconventional monetary policy and corporate bond issuance,"
European Economic Review, Elsevier, vol. 135(C).
- De Santis, Roberto A. & Zaghini, Andrea, 2019. "Unconventional monetary policy and corporate bond issuance," Working Paper Series 2329, European Central Bank.
- De Santis, Roberto A. & Zaghini, Andrea, 2021. "Unconventional monetary policy and corporate bond issuance," CFS Working Paper Series 654, Center for Financial Studies (CFS).
- 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.
- Xin Sheng & Won Joong Kim & Rangan Gupta, 2021. "The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?," Working Papers 202184, University of Pretoria, Department of Economics.
- Zaghini, Andrea, 2024.
"Unconventional green,"
Journal of Corporate Finance, Elsevier, vol. 85(C).
- Zaghini, Andrea, 2023. "Unconventional green," CFS Working Paper Series 710, Center for Financial Studies (CFS).
- Andrea Zaghini, 2024. "Unconventionally green," Temi di discussione (Economic working papers) 1453, Bank of Italy, Economic Research and International Relations Area.
- repec:spo:wpmain:info:hdl:2441/6b3bdv9unt9mspi3ri2ff917d6 is not listed on IDEAS
- 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).
- Sofiane Aboura & Björn van Roye, 2017. "Financial stress and economic dynamics: An application to France," Working Papers hal-01526393, HAL.
- 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.
- Wilmar Cabrera & Jorge Hurtado & Miguel Morales & Juan Sebastián Rojas, 2014. "A Composite Indicator of Systemic Stress (CISS) for Colombia," Temas de Estabilidad Financiera 80, Banco de la Republica de Colombia.
- Wilmar Cabrera & Jorge Hurtado & Miguel Morales & Juan Sebastián Rojas, 2014. "A Composite Indicator of Systemic Stress (CISS) for Colombia," Borradores de Economia 11697, Banco de la Republica.
- 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.
- Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers 2015-30, Economic Research Institute, Bank of Korea.
- Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
- Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2019. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2019-02, Department of Economics, Auburn University.
- Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-06, Department of Economics, Auburn University.
- Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper 89768, University Library of Munich, Germany.
- 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.
- 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).
- 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.
- Hoffmann, Peter & Kremer, Manfred & Zaharia, Sonia, 2020.
"Financial integration in Europe through the lens of composite indicators,"
Economics Letters, Elsevier, vol. 194(C).
- Hoffmann, Peter & Kremer, Manfred & Zaharia, Sonia, 2019. "Financial integration in Europe through the lens of composite indicators," Working Paper Series 2319, European Central Bank.
- 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.
- Byström, Hans, 2014. "Credit-Implied Equity Volatility – Long-Term Forecasts and Alternative Fear Gauges," Working Papers 2014:34, Lund University, Department of Economics.
- Kurowski, Łukasz Kamil & Rogowicz, Karol, 2017. "Negative interest rates as systemic risk event," Finance Research Letters, Elsevier, vol. 22(C), pages 153-157.
- 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).
- 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.
- Federico GIRI, 2014. "Does Interbank Market Matter for Business Cycle Fluctuation? An Estimated DSGE Model with Financial Frictions for the Euro Area," Working Papers 398, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Giri, Federico, 2014. "Does interbank market matter for business cycle fluctuation? An estimated DSGE model with financial frictions for the Euro area," FinMaP-Working Papers 27, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- 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.
- Philipp Roderweis & Jamel Saadaoui & Francisco Serranito, 2023. "Is Quantitative Easing Productive? The Role of Bank Lending in the Monetary Transmission Process," Working Papers hal-04159825, HAL.
- 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.
- Ugo Albertazzi & Andrea Nobili & Federico M. Signoretti, 2016. "The bank lending channel of conventional and unconventional monetary policy," Temi di discussione (Economic working papers) 1094, Bank of Italy, Economic Research and International Relations Area.
- 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.
- Michal Franta, 2013. "The Effect of Non-Linearity Between Credit Conditions and Economic Activity on Density Forecasts," Working Papers 2013/09, Czech National Bank.
- 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.
- 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.
- 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 del Instituto Complutense de Estudios Internacionales 1703, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
- 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.
- 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.
- 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.
- Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market environment for credit default swap pricing," Kiel Working Papers 1946, Kiel Institute for the World Economy (IfW Kiel).
- Leppin, Julian S. & Reitz, Stefan, 2014. "The role of a changing market: Environment for credit default swap pricing," HWWI Research Papers 153, Hamburg Institute of International Economics (HWWI).
- Leppin, Julia S. & Reitz, Stefan, 2014. "The Role of a Changing Market Environment for Credit Default Swap Pricing," FinMaP-Working Papers 7, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- 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.
- Rémy Charleroy & Michael A. Stemmer, 2014. "An Emerging Market Financial Conditions Index: A VAR Approach," Post-Print halshs-01110688, HAL.
- Rémy Charleroy & Michael A. Stemmer, 2014. "An Emerging Market Financial Conditions Index: A VAR Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01110688, HAL.
- Barbu, Alexandru & Fricke, Christoph & ,, 2020.
"Procyclical Asset Management and Bond Risk Premia,"
CEPR Discussion Papers
15123, C.E.P.R. Discussion Papers.
- Barbu, Alexandru & Fricke, Christoph & Moench, Emanuel, 2021. "Procyclical asset management and bond risk premia," ESRB Working Paper Series 116, European Systemic Risk Board.
- Barbu, Alexandru & Fricke, Christoph & Mönch, Emanuel, 2020. "Procyclical asset management and bond risk premia," Discussion Papers 38/2020, Deutsche Bundesbank.
- 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.
- Botelho, Vasco & Foroni, Claudia & Renzetti, Andrea, 2024. "Labour at risk," European Economic Review, Elsevier, vol. 170(C).
- 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.
- Tibor Szendrei & Katalin Varga, 2017. "FISS - A Factor Based Index of Systemic Stress in the Financial System," MNB Working Papers 2017/9, Magyar Nemzeti Bank (Central Bank of Hungary).
- 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.
- Jérôme Creel & Paul Hubert & Fabien Labondance, 2019. "The intertwining of credit and banking fragility," Post-Print hal-02894259, HAL.
- Jérôme Creel & Paul Hubert & Fabien Labondance, 2019. "The intertwining of credit and banking fragility," SciencePo Working papers Main hal-02894259, HAL.
- 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).
- 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.
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"Forecasting and stress testing with quantile vector autoregression,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
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"Measuring financial systemic stress for Turkey: A search for the best composite indicator,"
Economic Systems, Elsevier, vol. 43(1), pages 151-172.
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"A financially stressed euro area,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 11, pages 1-37.
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"Liquidity crises, liquidity lines and sovereign risk,"
Journal of Development Economics, Elsevier, vol. 154(C).
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"Beyond spreads: Measuring sovereign market stress in the euro area,"
Economics Letters, Elsevier, vol. 159(C), pages 153-156.
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"The Risk of Inflation Dispersion in the Euro Area,"
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"The ECB after the crisis: existing synergies among monetary policy, macroprudential policies and banking supervision,"
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"Is there a trade-off between free capital mobility, financial stability and fiscal policy flexibility in the EMU?,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 154(1), pages 177-201, February.
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- Marozzi, Armando, 2021. "The ECB's tracker: nowcasting the press conferences of the ECB," Working Paper Series 2609, European Central Bank.
- Juan Ángel Lafuente & Nuria Petit & Jesús Ruiz & Pedro Serrano, 2020. "Dissecting interbank risk using basis swap spreads," The World Economy, Wiley Blackwell, vol. 43(3), pages 729-757, March.
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"Risk Mitigating versus Risk Shifting: Evidence from Banks Security Trading in Crises,"
CEPR Discussion Papers
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- José-Luis Peydró & Andrea Polo & Enrico Sette & Victoria Vanasco, 2020. "Risk mitigating versus risk shifting: evidence from banks security trading in crises," Economics Working Papers 1753, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2023.
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- Manfred Kremer, 2016.
"Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area,"
International Economics and Economic Policy, Springer, vol. 13(1), pages 105-138, January.
- Manfred Kremer, 2016. "Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area," International Economics and Economic Policy, Springer, vol. 13(1), pages 105-138, January.
- Jaromir Baxa & Jan Zacek, 2022. "Monetary Policy and the Financial Cycle: International Evidence," Working Papers 2022/4, Czech National Bank.
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- Pavel Gertler & Roman Horvath, 2017. "Market Reading of Central Bankers Words. A High-Frequency Evidence," Working and Discussion Papers WP 2/2017, Research Department, National Bank of Slovakia.
- Valdivia Coria, Joab Dan & Valdivia Coria, Daney David, 2021. "Impacto del Stress Sistémico en el Crecimiento Económico: Caso Guatemala [Systemic Stress Impact on Economic Growth: The case of Guatemala]," MPRA Paper 110669, University Library of Munich, Germany.
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"Bank-based versus market-based financing: Implications for systemic risk,"
Journal of Banking & Finance, Elsevier, vol. 114(C).
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"Eurozone Economic Integration: Historical Developments and New Challenges Ahead,"
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096, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
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"Financial conditions and macroeconomic downside risks in the euro area,"
European Economic Review, Elsevier, vol. 143(C).
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"Effectiveness and Transmission of the ECB's Balance Sheet Policies,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 297-333, February.
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- Fornari, Fabio & Pianeselli, Daniele & Zaghini, Andrea, 2024. "It better be good, it better be green," CFS Working Paper Series 723, Center for Financial Studies (CFS).
- Nadri , Kamran & Ebrahimi , Sajad & Fadaie , Abbas, 2018. "An Investigation of Co-Movement of Financial Stability Index with Macro-Prudential Indicator through Wavelet Analysis," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(2), pages 125-151, April.
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"The Euro Interbank Repo Market,"
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"Comment lutter contre la fragmentation du système bancaire de la zone euro ?,"
Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 171-219.
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"Heterogeneity in corporate debt structures and the transmission of monetary policy,"
European Economic Review, Elsevier, vol. 136(C).
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"Regime-Dependent Sovereign Risk Pricing During the Euro Crisis,"
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"Measuring the instability of China's financial system: Indices construction and an early warning system,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-41.
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"International effects of a compression of euro area yield curves,"
Journal of Banking & Finance, Elsevier, vol. 113(C).
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"Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries,"
European Economic Review, Elsevier, vol. 101(C), pages 210-229.
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"Re‐vitalizing money demand in the Euro area. Still valid at the zero‐lower bound,"
Bulletin of Economic Research, Wiley Blackwell, vol. 71(4), pages 599-615, October.
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"Tracking growth in the euro area subject to a dimensionality problem,"
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