Beyond spreads: Measuring sovereign market stress in the euro area
Beyond spreads: Measuring sovereign market stress in the euro area☆
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.
Financial stress index
Sovereign debt crisis
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October 16, 2018 at 05:42PM https://ift.tt/2QUOMeT