Beyond spreads: Measuring sovereign market stress in the euro area
https://ift.tt/2QUOMeT

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.
Author :
Publish
via ScienceDirect
October 16, 2018 at 05:42PM https://ift.tt/2QUOMeT
Leave a Reply