spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we … euro area countries. In our empirical results the estimated LGDs perceived by financial markets stay comfortably below 40 …

In this paper we propose a composite indicator that measures multi-dimensional sovereign bond market stress in the euro … area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity … eleven euro area member states and also present four options of a SovCISS for the entire monetary union. In addition, we …

Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to … euro area spreads, including those for Austria, Finland and the Netherlands. Country-specific credit ratings have played a …

The sovereign debt crisis in the euro area has increased the interest in early warning indicators, with the aim to …, especially for the euro area. We show that a country specific approach could strongly increase the signalling power of early …

We use a unique dataset of ratings for euro area corporate loans from commercial banks’ internal rating-based (IRBs … estimation of risk by banks …