Beyond Spreads: Measuring Sovereign Market Stress in the Euro Area
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DOI: 10.1016/j.econlet.2017.06.042
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… read more here.
Keywords: market stress; stress euro; euro area; stress ... See more keywords