Tuomas Peltonen

Author

Staff research

Dating Systemic Financial Stress Episodes in the EU Countries

Staff working paper 2016-11 Benjamin Klaus, Tuomas Peltonen, Thibaut Duprey
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.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C54, G, G0, G01, G1, G15 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods

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