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Monthly Updates: the indices of financial stress (CLIFS) are available on the Statistical Data Warehouse of the ECB, under the following category:
Supervisory and prudential statistics
> Macroprudential database
> Macroeconomic and financial market variables
> Risk and uncertainty indicators
Featured in: ECB Financial Stability Review May 2016 (chart 1)
Featured in: ECB Financial Stability Review November 2015 (chart 1)
Related work: ECB Occasional Paper "A new Database for Financial Crises in European Countries"
Below are the companion materials to the working paper Dating Systemic Financial Stress in the EU countries (ECB Working Paper No 1873, Bank of Canada Staff Working Paper No 2016-11), namely:
1. The online appendix [here or at the bottom of the page]
2. The dataset that includes: [here or at the bottom of the page]
- The Country Level Index of Financial Stress (CLIFS) for each of the EU-27 countries (figure 1)
- The breakdown of the Financial Stress Index by market segment (equity, bonds, foreign exchange, correlations)
- The dates of Systemic Financial Stress for each of the EU-27 countries (figure 2)
Note : The list of events tagged in the figures is as follows :
1 - first oil shock2 - second oil shock3 - Mexican debt crisis4 - Black Monday5 - ERM crisis6 - Peso crisis7 - Asian crisis8 - Russian crisis9 - dot com bubble10 - subprime crisis11 - Lehman Brothers12 - 1st bailout Greece13 - 2nd bailout GreeceFigure 1 : median and 10/90 percentile range of the CLIFS across EU-27 countries
Figure 2 : share of countries experiencing systemic financial stress among EU-27 countries
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