A New Database for Financial Crises in European Countries: ECB/ESRB EU Crises Database

62 Pages Posted: 3 Aug 2017

See all articles by Marco Lo Duca

Marco Lo Duca

European Central Bank (ECB)

Anne Koban

European Central Bank (ECB)

Marisa Basten

European Systemic Risk Board

Elias Bengtsson

Halmstad University

Benjamin Klaus

European Central Bank (ECB)

Piotr Kusmierczyk

European Systemic Risk Board

Jan Hannes Lang

European Central Bank (ECB)

Carsten Detken

European Central Bank (ECB)

Tuomas A. Peltonen

European Central Bank (ECB)

Date Written: July 31, 2017

Abstract

This paper presents a new database for financial crises in European countries, which serves as an important step towards establishing a common ground for macroprudential oversight and policymaking in the EU. The database focuses on providing precise chronological definitions of crisis periods to support the calibration of models in macroprudential analysis. An important contribution of this work is the identification of financial crises by combining a quantitative approach based on a financial stress index with expert judgement from national and European authorities. Key innovations of this database are (i) the inclusion of qualitative information about events and policy responses, (ii) the introduction of a broad set of non-exclusive categories to classify events, and (iii) a distinction between event and post-event adjustment periods. The paper explains the two-step approach for identifying crises and other key choices in the construction of the dataset. Moreover, stylised facts about the systemic crises in the dataset are presented together with estimations of output losses and fiscal costs associated with these crises. A preliminary assessment of the performance of standard early warning indicators based on the new crises dataset confirms findings in the literature that multivariate models can improve compared to univariate signalling models.

Keywords: Financial Crises, Macroprudential, Crises Database, Early Warning Models, Central Bank Statistics

JEL Classification: G01, E44, E58, E60, H12

Suggested Citation

Lo Duca, Marco and Koban, Anne and Basten, Marisa and Bengtsson, Elias and Klaus, Benjamin and Kusmierczyk, Piotr and Lang, Jan Hannes and Detken, Carsten and Peltonen, Tuomas A., A New Database for Financial Crises in European Countries: ECB/ESRB EU Crises Database (July 31, 2017). ECB Occasional Paper No. 194. Available at SSRN: https://ssrn.com/abstract=3011859

Marco Lo Duca (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Anne Koban

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Marisa Basten

European Systemic Risk Board ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Elias Bengtsson

Halmstad University ( email )

301 18 Halmstad
Sweden

Benjamin Klaus

European Central Bank (ECB) ( email )

Frankfurt
Germany

Piotr Kusmierczyk

European Systemic Risk Board ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Jan Hannes Lang

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Carsten Detken

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
0049 69 13440 (Phone)
0049 69 1344 6000 (Fax)

Tuomas A. Peltonen

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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