Beyond spreads: Measuring sovereign market stress in the euro area

Beyond spreads: Measuring sovereign market stress in the euro area

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Beyond spreads: Measuring sovereign market stress in the euro area

Abstract

We develop a novel composite indicator to measure sovereign bond market stress in the euro area. The indicator integrates yield and liquidity spreads along with volatility into an overall measure of sovereign market stress. An application to the spillover literature suggests that stress mainly originates from a few countries, but that spillover patterns also vary over time.

JEL classification

C43

E44

F45

G01

H63

Keywords

Financial stress index

Systemic risk

Sovereign debt crisis

Spillover index

© 2017 Elsevier B.V. All rights reserved.

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October 16, 2018 at 05:42PM https://ift.tt/2QUOMeT

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