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...

This paper develops composite indicators of financial integration within the euro area for both price-based and quantity-based indicators covering money, bond, equity and banking markets. Prior to aggregation, individual integration indicators are harmonised by applying the probability integral...

This study uses VAR analysis to assess the linkage between stock market developments and consumer confidence in the euro area. The empirical evidence suggests the existence of a significant positive relationship between stock market developments and consumer confidence in the euro area. As...

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 at short-term and long-term bond maturities into a...

Das vorliegende Papier geht der Frage nach, wie eng der deutsche Kapitalmarktzins über den Zeitraum von Mitte der 70er Jahre bis Anfang 1998 an die Zinsverhältnisse in den USA gebunden war. Häufig geäußerten Vennutungen folgend wird daneben überprüft, ob die "Auslandsabhängigkeit" des...

This paper analyses a macro-financial VAR model for the euro area that includes -- apart from conventional measures of output, inflation and monetary policy -- a composite indicator of systemic financial stress, namely the CISS index, and total assets of the ECB balance sheet capturing the...

This paper develops composite indicators of financial integration within the euro area for both price-based and quantity-based indicators covering money, bond, equity and banking markets. Prior to aggregation, individual integration indicators are harmonised by applying the probability integral...