Manfred Kremer

European Central Bank (ECB)

Head of Financial Markets Research Section

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

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SCHOLARLY PAPERS

20

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168

Scholarly Papers (20)

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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 2,075 (16,245)
Citation 7

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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 1,022 (46,953)
Citation 111

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

3.

Melting Down: Systemic Financial Instability and the Macroeconomy

Number of pages: 41 Posted: 06 Jul 2014 Last Revised: 05 Mar 2015
Philipp Hartmann, Kirstin Hubrich, Manfred Kremer and Robert J. Tetlow
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 385 (162,230)
Citation 14

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

4.

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 366 (171,643)
Citation 6

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

5.

Measuring Systemic Financial Stress and its Impact on the Macroeconomy

Number of pages: 55 Posted: 17 Jan 2021
Sulkhan Chavleishvili and Manfred Kremer
Aarhus University - School of Business and Social Sciences and European Central Bank (ECB)
Downloads 306 (208,304)
Citation 3

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Financial crisis; Financial stress index; Macro-financial linkages; Quantile vector autoregression; Systemic risk

6.

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 304 (209,760)
Citation 2

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

7.

Financial Integration in Europe Through the Lens of Composite Indicators

Downloads 290 (220,375)
Citation 2

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), European Central Bank (ECB) and Tufts University - Friedman School of Nutrition Science and Policy
Downloads 210 (301,946)
Citation 1

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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

Number of pages: 33 Posted: 30 Sep 2019
Peter Hoffmann, Manfred Kremer and Sonia Zaharia
European Central Bank (ECB), European Central Bank (ECB) and Tufts University - Friedman School of Nutrition Science and Policy
Downloads 80 (648,620)
Citation 1

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

8.

The Risk Management Approach to Macro-Prudential Policy

ECB Working Paper No. 2021/2565
Number of pages: 76 Posted: 03 Jun 2021
Sulkhan Chavleishvili, Robert F. Engle, Stephan Fahr, Manfred Kremer, Simone Manganelli and Bernd Schwaab
Aarhus University - School of Business and Social Sciences, New York University (NYU) - Department of Finance, European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 285 (224,409)
Citation 4

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9.

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 274 (233,611)

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

10.

Measuring Systemic Financial Stress and its Risks for Growth

ECB Working Paper No. 2023/2842
Number of pages: 49 Posted: 30 Aug 2023
Sulkhan Chavleishvili and Manfred Kremer
Aarhus University and European Central Bank (ECB)
Downloads 230 (279,209)

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Financial crisis, Financial stress index, Macro-financial linkages, Quantile VAR, Systemic risk

11.

Quantifying Financial Stability Trade-Offs for Monetary Policy: A Quantile VAR Approach

ECB Working Paper No. 2023/2833
Number of pages: 65 Posted: 01 Aug 2023
Sulkhan Chavleishvili, Manfred Kremer and Frederik Lund-Thomsen
Aarhus University, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 205 (310,291)
Citation 1

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growth-at-risk, Policy trade-offs, quantile regression, systemic risk

12.

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 187 (337,710)

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

13.

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 176 (356,643)

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

14.

Beyond Spreads: Measuring Sovereign Market Stress in the Euro Area

Downloads 169 (369,574)
Citation 6

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 99 (566,870)
Citation 2

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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 70 (699,563)
Citation 4

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

15.

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 138 (437,028)
Citation 1

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

16.

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 126 (469,658)
Citation 3

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

17.

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 125 (472,586)
Citation 3

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

18.

A Risk Management Perspective on Macroprudential Policy

ECB Working Paper No. 2021/2556
Number of pages: 35 Posted: 24 May 2021
Sulkhan Chavleishvili, Stephan Fahr, Manfred Kremer, Simone Manganelli and Bernd Schwaab
Aarhus University - School of Business and Social Sciences, European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 118 (493,978)
Citation 4

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19.

The Dynamics of Investors’ Reactions to Informal Central Bank Communications

Number of pages: 50 Posted: 28 Aug 2021
Giuseppe Galloppo, Stefano Caiazza, Franco Fiordelisi, Ornella Ricci and Manfred Kremer
Università degli studi della Tuscia, Università degli Studi di Roma Tor Vergata - Dipartimento di Economia e Finanza, University of Essex - Essex Business School, University of Roma Tre, Department of Business Studies and European Central Bank (ECB)
Downloads 87 (609,001)

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Financial crisis, Monetary policy, Central bank communication

20.

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 57 (763,030)
Citation 1

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