Benjamin Klaus

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How to Predict Financial Stress? An Assessment of Markov Switching Models

Staff Working Paper 2017-32 Thibaut Duprey, Benjamin Klaus
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.

Dating Systemic Financial Stress Episodes in the EU Countries

Staff Working Paper 2016-11 Thibaut Duprey, Benjamin Klaus, Tuomas Peltonen
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.

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