Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area

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

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Year of publication:	2017
Authors:	Garcia-de-Andoain, Carlos
Other Persons:	Kremer, Manfred (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Eurozone \| Euro area \| EU-Staaten \| EU countries \| Öffentliche Anleihe \| Public bond \| Finanzkrise \| Financial crisis \| Zinsstruktur \| Yield curve \| Länderrisiko \| Country risk

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Extent:	1 Online-Ressource (15 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 5, 2016 erstellt
Other identifiers:	10.2139/ssrn.2805093 [DOI]
Classification:	C43 - Index Numbers and Aggregation ; E44 - Financial Markets and the Macroeconomy ; f45 ; G01 - Financial Crises ; H63 - Debt; Debt Management
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012968869