Beyond Spreads: Measuring Sovereign Market Stress in the Euro Area

15 Pages Posted: 7 Jul 2016 Last revised: 5 Jul 2017

See all articles by Carlos Garcia-de-Andoain

Carlos Garcia-de-Andoain

European Central Bank (ECB)

Manfred Kremer

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: July 5, 2016

Abstract

We develop a novel composite indicator to measure sovereign bond market stress in the euro area. The indicator integrates measures of credit risk, volatility and liquidity 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: Financial Stress Index; Systemic Risk; Sovereign Debt Crisis; Spillover Index

JEL Classification: C43, E44, F45, G01, H63

Suggested Citation

Garcia-de-Andoain, Carlos and Kremer, Manfred, Beyond Spreads: Measuring Sovereign Market Stress in the Euro Area (July 5, 2016). Economics Letters, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2805093 or http://dx.doi.org/10.2139/ssrn.2805093

Carlos Garcia-de-Andoain

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Manfred Kremer (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+49 69 1344 7065 (Phone)

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