A Financial Systemic Stress Index for Greece

The paper develops a financial systemic stress index (FSSI) for Greece. The systemic nature of stress is taken into account by considering the time-varying correlations between different composite stress indicators. The underlying raw stress indicators include both market and balance sheet data which is a novel feature for systemic stress indicators. Validation of the FSSI utilizes the results of a survey which was conducted among financial experts in order to construct a benchmark chronology of financial crises for Greece. The results show that the FSSI is able to provide a precise periodization of crises. Our findings suggest that accurate depiction of the systematic nature of stress is pivotal in order to provide proper policy guidance with respect to financial crises identification