Beyond Spreads: Measuring Sovereign Market Stress in the Euro Area
15 Pages Posted: 7 Jul 2016 Last revised: 5 Jul 2017
Date Written: July 5, 2016
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
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