Urszula Kochanska
- 16 June 2023
- STATISTICS PAPER SERIES - No. 43Details
- Abstract
- In early 2020, the rapid spread of the coronavirus (COVID-19) quickly developed into a pandemic. This was followed by a sharp global economic downturn that was extraordinary in its speed, reach and scale. Within days of the first reported COVID-19 cases, the ECB daily Composite Indicator of Systemic Stress soared, and stress in several financial market segments began to flare up. These rapidly emerging financial strains could not be captured by a composite indicator of financial integration at the time because such indicators were low-frequency – principally monthly or even quarterly. The first aim of this paper is to present the steps taken in constructing a novel high-frequency price-based indicator of financial integration (HF-PIFI). Throughout the COVID-19 crisis, this novel indicator was responsive to public health data releases, incoming economic and financial data, and policy announcements. In this sense, it acted as a “thermometer”. The second aim of the paper is to use the novel indicator to identify events that were either supportive or damaging with respect to financial integration. This helps to distinguish between the main phases of the pandemic. The third aim of the paper is to review how the novel HF-PIFI indicator performed against the low-frequency indicators of financial integration. Looking back, the signals from the HF-PIFI index were quite accurate: the benefits of daily signals based on market data outweigh those of relying on a more limited set of low-frequency data.
- JEL Code
- C82 : Mathematical and Quantitative Methods→Data Collection and Data Estimation Methodology, Computer Programs→Methodology for Collecting, Estimating, and Organizing Macroeconomic Data, Data Access
C83 : Mathematical and Quantitative Methods→Data Collection and Data Estimation Methodology, Computer Programs→Survey Methods, Sampling Methods
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
G10 : Financial Economics→General Financial Markets→General
- 24 May 2022
- FINANCIAL STABILITY REVIEW - ARTICLEFinancial Stability Review Issue 1, 2022Details
- Abstract
- The stellar growth, volatility and financial innovation currently seen in the crypto-asset ecosystem, as well as the rising involvement of institutional investors, show how important it is to gain a better understanding of the potential risks crypto-assets could pose to financial stability if trends continue on this trajectory. This special feature provides an update on crypto-asset market developments and a general overview of risks stemming from unbacked crypto-assets and decentralised finance, given the way in which they have evolved and their specific characteristics and risks. Systemic risk increases in line with the level of interconnectedness between crypto-assets and the traditional financial sector, the use of leverage and lending activity. It is important to close regulatory and data gaps in the crypto-assets ecosystem to mitigate such systemic risks.
- JEL Code
- G18 : Financial Economics→General Financial Markets→Government Policy and Regulation
G19 : Financial Economics→General Financial Markets→Other
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
G51 : Financial Economics
- 10 November 2020
- ECONOMIC BULLETIN - ARTICLEEconomic Bulletin Issue 7, 2020Details
- Abstract
- This article provides an overview of financial fragmentation during the coronavirus (COVID-19) crisis and the policies enacted to counter its effects. It does so through the lens of a set of high-frequency indicators for monitoring developments in financial integration. The readings from these indicators are then linked to unfolding economic and political events and to the main policy responses in monetary, fiscal and financial stability policy at the national and European levels. After initial sharp fragmentation, euro area financial integration broadly recovered to pre-crisis levels by mid-September, but not for all indicators. However, this recovery is still fragile and relies on an unprecedented amount of fiscal, monetary and prudential policy support.
- JEL Code
- G00 : Financial Economics→General→General
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
- 7 August 2019
- ECONOMIC BULLETIN - ARTICLEEconomic Bulletin Issue 5, 2019Details
- Abstract
- This article discusses the crypto-asset phenomenon with a view to understanding its potential risks and enhancing its monitoring. First, it describes the characteristics of the crypto-asset phenomenon, in order to arrive at a clear definition of the scope of monitoring activities. Second, it identifies the primary risks of crypto-assets that warrant continuous monitoring – these risks could affect the stability and efficiency of the financial system and the economy – and outlines the linkages that could cause a risk spillover. Third, the article discusses how, and to what extent, publicly available data allow the identified monitoring needs to be met and, by providing some examples of indicators on market developments, offers insights into selected issues, such as the availability and reliability of data. Finally, it covers selected statistical initiatives that attempt to overcome outstanding challenges.
- JEL Code
- E42 : Macroeconomics and Monetary Economics→Money and Interest Rates→Monetary Systems, Standards, Regimes, Government and the Monetary System, Payment Systems
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G23 : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
O33 : Economic Development, Technological Change, and Growth→Technological Change, Research and Development, Intellectual Property Rights→Technological Change: Choices and Consequences, Diffusion Processes
C18 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Methodological Issues: General