In this paper we propose a composite indicator that measures multidimensional 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 …

stress and the financial cycle. An empirical study with euro area and U.S. data shows how to construct indicators of macro …

euro area and the US. The CISS aggregates a representative set of stress indicators using their time-varying cross …

euro area covering the real economy, monetary policy and measures of ex ante and ex post systemic risk representing …