A Financial Systemic Stress Index for Greece

40 Pages Posted: 10 Jan 2011

See all articles by Dimitrios P. Louzis

Dimitrios P. Louzis

Athens University of Economics and Business; Bank of Greece

Angelos T. Vouldis

European Central Bank (ECB); Bank of Greece

Multiple version iconThere are 2 versions of this paper

Date Written: January 7, 2011

Abstract

The paper develops a financial systemic stress index (FSSI) for Greece. The systemic nature of stress is taken into account by considering the time-varying correlations between different composite stress indicators. The underlying raw stress indicators include both market and balance sheet data which is a novel feature for systemic stress indicators. Validation of the FSSI utilizes the results of a survey which was conducted among financial experts in order to construct a benchmark chronology of financial crises for Greece. The results show that the FSSI is able to provide a precise periodization of crises. Our findings suggest that accurate depiction of the systematic nature of stress is pivotal in order to provide proper policy guidance with respect to financial crises identification.

Keywords: Financial crisis, systemic stress, stress index, multivariate GARCH

JEL Classification: G01, G10, G20, E44

Suggested Citation

Louzis, Dimitrios P. and Vouldis, Angelos T., A Financial Systemic Stress Index for Greece (January 7, 2011). Available at SSRN: https://ssrn.com/abstract=1736570 or http://dx.doi.org/10.2139/ssrn.1736570

Dimitrios P. Louzis (Contact Author)

Athens University of Economics and Business ( email )

47A Evelpidon
Athens, 11362
Greece

Bank of Greece ( email )

21 E. Venizelos Avenue
GR 102 50 Athens
Greece

Angelos T. Vouldis

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Bank of Greece ( email )

21 E. Venizelos Avenue
GR 102 50 Athens
Greece

HOME PAGE: http://www.bankofgreece.gr

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