In this paper, we develop a financial stress index for France that can be used as a real-time composite indicator for the state of financial stability in France. We take 17 financial variables from different market segments and extract a common stress component using a dynamic approximate factor...

In this paper we analyze the effects of external shocks on countries in Emerging Asia. For that purpose, we estimate a Bayesian Vector Auto-Regressive model (BVAR) with an informative prior on the steady state, including variables representing world economic activity, financial conditions,...