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Financial system, financial stability, systemic risk, financial stress index, macro-financial, linkages
Financial system, Financial stability, Systemic risk, Financial stress index, Macro-financial linkages
financial stability, systemic risk, macro-financial linkages, Markov switching VAR, non-linearities
Financial stress index, financial stability, Non-standard monetary policy, Central bank balance sheet, Monetary policy shocks, VAR models
Public debt, Long-Term Interest Rates, Cointegration, Common Trends
Financial Stress Index; Composite Index of Systemic Stress (CISS); Systemic Risk; Financial Stability
consumer confidence, animal spirits, stock market, consumption, wealth effect, leading indicator, VAR
Financial stress index, Systemic risk, Financial stability, Financial crisis, Macro-financial linkages, Threshold VAR, Portfolio theory
Yield curve, Term structure, Forecasting, Term premia, Financial markets and the macroeconomy
composite indicator, economic growth, European Monetary Union, financial integration, financial stress
Financial Stress Index; Systemic Risk; Sovereign Debt Crisis; Spillover Index
financial stress index, systemic risk; sovereign debt crisis, spillover index
asset prices, monetary policy, yield curve, dividend yield, predictive power
asset price linkages, volatility regimes, contagion, SWARCH, GARCH
Financial crisis; Financial stress index; Macro-financial linkages; Quantile vector autoregression; Systemic risk