Testing for Exceptional Bulls and Bears: a Non-Parametric Perspective

This paper investigates exceptional phases of stock market cycles. Defined in Pagan and Sossounov (2003) as unusual, they are detected as outliers in the historical distribution. Moreover, this study completes the growing literature on stock market bulls and bears in several aspects. First,it extends the description of financial cy- cles by going beyond solely the duration feature. Second, a new strategy to test for single and multiple outliers is presented. Based on this procedure, the exceptional bulls and bears that occurred since 1973 are detected. A complementary analysis deals with the specific cross-country patterns of the current sub-prime crisis. Our results are mixed, in the sense that they do not support the idea that the ongoing bear is exceptional for all the analyzed countries. Moreover, the results indicate that the stock market indices are still far away from the thresholds beyond which the current bear phase will become exceptional worldwide.monetary economics ;

Testing for exceptional bulls and bears: A non-parametric perspective

Abstract Very preliminary draft. This paper contributes to the growing literature on stock market bulls and bears in several aspects. First, it completes the description of financial cycles by going beyond the single duration feature. Second, a methodological improvement is provided by a new, non-parametric test for outliers. Based on this, it is possible to determine the exceptional bulls and bears that occurred since 1973. A complementary analysis investigates the specific pattern of the sub-prime crisis. Our outcomes are quite provocative, as for the moment they support the idea of an ongoing bear with regular characteristics, except for Austria and the United Kingdom. Moreover, the results indicate that the probability for a feature to cross the threshold in the short future, signalling then the appearance of an exceptional bear phase is moderate. J.E.L. Codes: C19; E32; F3

A composite indicator of financial conditions for Germany

This paper proposes a composite indicator of financial conditions for Germany. The composite indicator distills information from large amounts of data covering different segments of the German financial system into a summary measure of financial conditions. This measure is constructed from 70 individual financial indicators for the period between January 2003 and June 2022. The findings show that there were four main episodes of tight financial conditions in Germany, which coincide with the financial crisis of the early 2000s, the 2008 global financial crisis, the euro area sovereign debt crisis of the early 2010s and the COVID-19 recession in 2020. Recent readings of the composite indicator point to tighterthan- average financial conditions in the first half of 2022. Estimates from a structural vector autoregression indicate that financial shocks account for a relatively large part of the variation in financial conditions, while macroeconomic shocks play a smaller role

Anticipation effects of protectionist U.S. trade policies

This paper investigates the international spillover effects of U.S. trade protection. Using micro-level data on anti-dumping, countervailing duties, and safeguards, I develop a new measure of U.S. trade policy announcement shocks for the period 1988-2015 that is free of confounding factors. Estimates using the new measure indicate that announced, but not yet imposed, U.S. trade restrictions give rise to contractions in major trading partners' output and investment. Counterfactual results indicate that a decline in business confidence accounts for the lion's share of these anticipation effects. A narrative analysis that quantifies the extent of newspaper coverage of U.S. trade protection shows that media attention facilitates the propagation of protectionist shocks. The results are consistent with an expectations channel of trade policy

A financial stress indicator for Germany

This paper describes the Bundesbank's weekly financial stress indicator for Germany. The indicator condenses several financial market variables into a summary measure of financial stress. It represents a contemporaneous, market-based indicator that captures the materialisation of systemic risk along three different risk dimensions - credit, liquidity and market risk. Judged by this measure, the German financial system has experienced its most severe financial stress period since 2002 during the 2008 global financial crisis, with highly elevated levels in all three dimensions of financial stress. The indicator also points to historically high stress levels during the euro area sovereign debt crisis in the early 2010s. Recent readings of the indicator, by contrast, indicate historically low levels of financial stress