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The views expressed in this paper are those of the authors and do not necessarily reflect those of the Bank of Canada, the Banque de France, the European Central Bank, the Eurosystem or the European Systemic Risk Board.The CLIFS indices developed in this paper are available on the Statistical Data Warehouse of the ECB as part of the macroprudential database We would like to thank two anonymous referees who contributed to a significant improvement of the paper.

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Based on two Markov-switching and one threshold vector autoregressive model, information from the CLIFS and industrial production are combined to identify those episodes of financial market stress that are associated with a substantial negative impact on the real economy.

By applying this framework to 27 European Union countries, the paper is a first attempt to provide a chronology of systemic financial stress episodes as a complement to the expert-detected events that are currently available.

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