More generally, it is difficult to capture the behaviour of financial market participants because they are affected by feedback effects between the financial system and the real economy. In many cases, a shock to the financial system will be amplified by interrelationships between financial markets and economic variables.
For instance and without reference to the present situation in the euro area, if, after a period of financial turbulence, financial intermediaries experience a widespread process of deleveraging, credit crunch mechanisms might come into play that could drive bigger second-round effects on the economy and, in turn, cause further losses in the banking sector.