期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：A nancial stress index for the United States is introduced an index that was used in realtime by the sta¤ of the Federal Reserve Board to monitor the nancial crisis of 2008-9 andthe interaction with real activity, ination and monetary policy is demonstrated using a richlyparameterized Markov-switching VAR model, estimated using Bayesian methods. A "stressevent" is de ned as a period where the latent Markov states for both shock variances andmodel coe¢ cients are adverse. Results show that allowing for time variation is economicallyand statistically important, with solid (quasi) real-time properties. Stress events line up wellwith nancial events in history. A shift to a stress event is highly detrimental to the outlookfor the real economy, and conventional monetary policy is relatively weak during such periods.
