Thibaut Duprey, Benjamin Klaus, Tuomas Peltonen, 14 January 2016

It is widely agreed that the Global Crisis qualifies as a period of ‘systemic’ financial stress. However, identifying and classifying other similar periods is challenging. This column presents a new framework for a transparent and objective identification of systemic financial stress episodes, beyond the expert-selected stress events available so far. The approach is applied to 27 EU countries to successfully identify episodes of financial stress. 

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CEPR Policy Research