Manfred Kremer

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

14

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Top 15,801

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3,197

SSRN CITATIONS
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SSRN RANKINGS

Top 8,388

in Total Papers Citations

28

CROSSREF CITATIONS

98

Scholarly Papers (14)

1.

CISS - A Composite Indicator of Systemic Stress in the Financial System

ECB Working Paper No. 1426
Number of pages: 51 Posted: 19 Mar 2012
Daniel Hollo, Manfred Kremer and Marco Lo Duca
Magyar Nemzeti Bank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 805 (31,211)

Abstract:

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Financial system, financial stability, systemic risk, financial stress index, macro-financial, linkages

2.

CISS - A Composite Indicator of Systemic Stress in the Financial System

Number of pages: 47 Posted: 19 May 2010 Last Revised: 19 Aug 2015
Daniel Hollo, Manfred Kremer and Marco Lo Duca
affiliation not provided to SSRN, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 780 (32,507)
Citation 152

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Financial system, Financial stability, Systemic risk, Financial stress index, Macro-financial linkages

3.

Macroeconomic Effects of Financial Stress and the Role of Monetary Policy: A VAR Analysis for the Euro Area

International Economics and Economic Policy, Vol. 13, No. 1, 2016
Number of pages: 29 Posted: 06 Feb 2015 Last Revised: 05 Jul 2017
Manfred Kremer
European Central Bank (ECB)
Downloads 258 (124,446)
Citation 3

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Financial stress index, financial stability, Non-standard monetary policy, Central bank balance sheet, Monetary policy shocks, VAR models

4.

Melting Down: Systemic Financial Instability and the Macroeconomy

Number of pages: 41 Posted: 06 Jul 2014 Last Revised: 05 Mar 2015
European Central Bank (ECB), Board of Governors of the Federal Reserve System, European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 257 (124,932)
Citation 13

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financial stability, systemic risk, macro-financial linkages, Markov switching VAR, non-linearities

5.

Public Debt and Long-Term Interest Rates: The Case of Germany, Italy and the USA

ECB Working Paper No. 656
Number of pages: 48 Posted: 01 Aug 2006
Rolf Strauch, Manfred Kremer and Paolo Paesani
European Central Bank (ECB), European Central Bank (ECB) and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 248 (129,569)
Citation 1

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Public debt, Long-Term Interest Rates, Cointegration, Common Trends

6.

Financial Stress Indices: An Introduction

The Spanish Review of Financial Economics, Volume 14, Issue 1, pp. 1–4, 2016
Number of pages: 7 Posted: 17 Apr 2016
Manfred Kremer
European Central Bank (ECB)
Downloads 144 (212,030)

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Financial Stress Index; Composite Index of Systemic Stress (CISS); Systemic Risk; Financial Stability

7.

Consumer Confidence and Stock Prices in the Euro Area: Is There a Relationship - and Does it Matter?

Paper presented at the 27th CIRET conference in Warsaw, September 2004
Number of pages: 26 Posted: 04 May 2009
Manfred Kremer and Thomas Westermann
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 126 (235,489)

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consumer confidence, animal spirits, stock market, consumption, wealth effect, leading indicator, VAR

8.

CISS — A Portfolio-Theoretic Framework for the Construction of Composite Financial Stress Indices

Number of pages: 45 Posted: 03 Aug 2012
Manfred Kremer, Daniel Hollo and Marco Lo Duca
European Central Bank (ECB), affiliation not provided to SSRN and European Central Bank (ECB)
Downloads 111 (258,327)

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Financial stress index, Systemic risk, Financial stability, Financial crisis, Macro-financial linkages, Threshold VAR, Portfolio theory

9.

Do Term Premia Affect the Predictive Power of the German Yield Curve for Future Economic Activity?

Number of pages: 24 Posted: 23 Jul 2007
Manfred Kremer and Thomas Werner
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 105 (268,560)
Citation 1

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Yield curve, Term structure, Forecasting, Term premia, Financial markets and the macroeconomy

Beyond Spreads: Measuring Sovereign Market Stress in the Euro Area

Economics Letters, Forthcoming
Number of pages: 15 Posted: 07 Jul 2016 Last Revised: 05 Jul 2017
Carlos Garcia-de-Andoain and Manfred Kremer
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 74 (337,787)
Citation 1

Abstract:

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Financial Stress Index; Systemic Risk; Sovereign Debt Crisis; Spillover Index

Beyond Spreads: Measuring Sovereign Market Stress in the Euro Area

ECB Working Paper No. 2185
Number of pages: 34 Posted: 17 Oct 2018
Carlos Garcia-de-Andoain and Manfred Kremer
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 19 (571,688)
Citation 2

Abstract:

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financial stress index, systemic risk; sovereign debt crisis, spillover index

11.

What Do Asset Price Movements in Germany Tell Monetary Policy Makers?

BIS Conference Papers Vol. 5: The Role of Asset Prices in the Formulation of Monetary Policy, 1998
Number of pages: 21 Posted: 29 Jul 2009
Dietrich Domanski and Manfred Kremer
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 92 (293,169)
Citation 3

Abstract:

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asset prices, monetary policy, yield curve, dividend yield, predictive power

12.

The Dynamics of International Asset Price Linkages and Their Effects on German Stock and Bond Markets

BIS Conference Papers Vol. 8: International Financial Markets and the Implications for Monetary and Financial Stability, 2000
Number of pages: 25 Posted: 29 Jul 2009
Dietrich Domanski and Manfred Kremer
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 85 (308,052)
Citation 3

Abstract:

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asset price linkages, volatility regimes, contagion, SWARCH, GARCH

Financial Integration in Europe Through the Lens of Composite Indicators

Number of pages: 35 Posted: 02 May 2019
Peter Hoffmann, Manfred Kremer and Sonia Zaharia
European Central Bank (ECB) - Directorate General Research, European Central Bank (ECB) and Tufts University - Friedman School of Nutrition Science and Policy
Downloads 61 (378,648)

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composite indicator, economic growth, European Monetary Union, financial integration, financial stress

Financial Integration in Europe Through the Lens of Composite Indicators

ECB Working Paper No. 2319
Number of pages: 33 Posted: 30 Sep 2019
Peter Hoffmann, Manfred Kremer and Sonia Zaharia
European Central Bank (ECB) - Directorate General Research, European Central Bank (ECB) and Tufts University - Friedman School of Nutrition Science and Policy
Downloads 17 (585,425)

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composite indicator, economic growth, European Monetary Union, financial integration, financial stress

14.

Die Kapitalmarktzinsen in Deutschland Und Den USA: Wie Eng Ist Der Zinsverbund? Eine Anwendung Der Multivariaten Kointegrationsanalyse

Bundesbank Series 1 Discussion Paper No. 1999,02
Number of pages: 104 Posted: 07 Jun 2016
Manfred Kremer
European Central Bank (ECB)
Downloads 15 (577,105)
Citation 1

Abstract:

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