CISS — A Portfolio-Theoretic Framework for the Construction of Composite Financial Stress Indices

Evaluating the Impact of Dividend Restrictions on Euro Area Bank Market Values

“…Finally, on 23 July 2021 the European Central Bank announced the end of restrictions on bank dividends and share buybacks as of the end of September 2021. The CISS captures systemic financial stressf (for details see Kremer et al (2012)). The vertical lines show the announcement dates of ECB dividend recommendations on 27 March, 28 July and 15 December 2020.…”

Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers

“…Angelini et al (2018) investigate uncertainty spillovers between four Eurozone countries by estimating an SVAR model on the uncertainty measures constructed by Meinen and Roehe (2017) for these countries using the methodology by Jurado et al (2015). Bacchiocchi and Dragomirescu-Gaina (2022) measure spillovers of uncertainty across Euro-area countries, using the European Central Bank's Composite Indicator for Systemic Stress (CISS) (Kremer et al 2012) as a measure of financial uncertainty and the EPU index as a measure of policy uncertainty, and estimating a global vector autoregression (Pesaran et al 2004) on these variables.…”