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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… Click to show full 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.
Keywords:
market stress;
stress euro;
euro area;
stress;
sovereign market
Journal Title: Economics Letters
Year Published: 2017
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!