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It is widely agreed that the Global Crisis qualifies as a period of ‘systemic’ financial stress.

However, the qualitative assessment of such events, as well as the time lag until the next update becomes available, call for a new and complementary approach. 2015) we provide a transparent, objective, and reproducible method to build a chronology of systemic financial stress events.Those events are defined as episodes of financial market stress associated with a substantial and prolonged negative impact on the real economy.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.By doing so, we bridge the gap between the literature on financial stress indices and business cycle dating.

The model-based approach outlined in this column aims at identifying the episodes that correspond to the red quadrant in the 2-by-2 matrix shown in Figure 1, with coincident high financial stress and low economic growth.

We expect high levels of financial stress to be harmful to the real economy, with a substantial (Figure 2.a) and prolonged (Figure 2.b) decline in real economic growth.

In the spirit of Hollo In order to distinguish between periods of low and high financial market stress, we rely on the business cycle dating literature that focuses on the identification of tranquil regimes and recessions.

The most natural method is to use a Markov switching (MS) model (Hamilton 1989).

The identification of systemic financial stress episodes has so far mainly relied on expert judgement.

Leaven and Valencia (2013) provide the most widely used database on systemic banking crises identified by (2014), were compiled by relying on the judgement of national central banks.