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Occasional papers

The ESRB Occasional Paper Series is an outlet for the publication of analytical and policy work that has been conducted within ESRB expert groups. The papers are typically written by ESRB Secretariat staff or the staff of ESRB member institutions, sometimes in collaboration with Advisory Scientific Committee members or external experts.

Any views expressed in occasional papers are those of the authors and do not necessarily reflect the official stance of the ESRB, its member institutions, or any institution to which the authors may be affiliated.

No. 13
31 July 2017
Occasional paper no. 13: A new database for financial crises in European countries

Abstract

JEL Classification

G01 : Financial Economics→General→Financial Crises

E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy

E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies

E60 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→General

H12 : Public Economics→Structure and Scope of Government→Crisis Management

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.

No. 12
17 July 2017
Assessing the cyclical implications of IFRS 9 - a recursive model, by Jorge Abad, Javier Suarez
No. 11
22 September 2016
Occasional paper no. 11: Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset, by Jorge Abad, Iñaki Aldasoro, Christoph Aymanns, Marco D'Errico, Linda Fache Rousová, et al.
No. 10
27 July 2016
Occasional paper no. 10: Assessing shadow banking – non-bank financial intermediation in Europe, by Laurent Grillet-Aubert, Jean-Baptiste Haquin, Clive Jackson, Neill Killeen and Christian Weistroffer
No. 9
26 January 2016
Occasional paper no. 9: Indirect contagion: the policy problem, by Laurent Clerc, Alberto Giovannini, Sam Langfield, Tuomas Peltonen, Richard Portes, et al.
No. 8
27 August 2015
Occasional paper no. 8: Identifying early warning indicators for real estate-related banking crises, by Stijn Ferrari, Mara Pirovano and Wanda Cornacchia
No. 7
13 July 2015
Occasional paper no. 7: Network analysis of the EU insurance sector, by Ivan Alves, Jeroen Brinkhoff, Stanislav Georgiev, Jean-Cyprien Héam, Iulia Moldovan, et al.
No. 6
23 September 2014
Occasional paper no. 6: Securities financing transactions and the (re)use of collateral in Europe – An analysis of the first data collection conducted by the ESRB from a sample of European banks and agent lenders, by Joachim Keller (Chair), Antoine Bouveret, Cristina Picillo, Zijun Liu, Julien Mazzacurati, et al.
No. 5
30 June 2014
Occasional paper no. 5: Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options, by Carsten Detken, Olaf Weeken, Lucia Alessi, Diana Bonfim, Miguel M. Boucinha, et al.
No. 4
17 September 2013
Occasional paper no. 4: Assessing contagion risks from the CDS market, by Markus Brunnermeier, Laurent Clerc, Yanis El Omari, Silvia Gabrieli, Steffen Kern, et al.
No. 3
16 September 2013
Occasional paper no. 3: The structure and resilience of the European interbank market, by Ivan Alves, Stijn Ferrari, Pietro Franchini, Jean-Cyprien Heam, Pavol Jurca, et al.
No. 2
18 March 2013
Occasional paper no. 2: Towards a monitoring framework for securities financing transactions, by Antoine Bouveret, Julien Jardelot, Joachim Keller, Philippe Molitor, John Thea, et al.
No. 1
22 June 2012
Occasional paper no. 1: Money market funds in Europe and financial stability, by Julie Ansidei, Elias Bengtsson, Daniele Frison and Giles Ward