This paper proposes a general statistical framework for systemic financial stress indexes. Several existing index designs can be represented as special cases. We introduce a daily variant of the ECB's CISS for the euro area and the US. The CISS aggregates a representative set of stress...

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...

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

Financial Conditions Indexes (FCIs) are analytical tools devised to synthesize the information contained in a set of financial variables in order to identify how financial conditions affect economic activity. In this paper, for each of the three main Central and Eastern EU member states outside...

This paper proposes a new approach to identify safe haven assets and to characterize their relationship with the market. We use quantile regression to analyze the returns of potential safe haven assets conditional on all market conditions including periods of financial turmoil. We find a...

One of the most challenging issues that economists are dealing with is the investigation of the financial turmoil in Eurozone economies. Particularly, the issue of exposing the potential crisis transmission channels has attracted considerable interest. Aiming to contribute to this literature, we...

The Eurozone crisis is one the most important economic event in recent years. At its peak, the effects of the crisis have put at serious risk the outcome of the euro project, exposing the inherent weaknesses and vulnerabilities of the monetary union. As the degree of economic and financial...

Gold, U.S. and German government bonds, the Swiss franc and the U.S. dollar and, more recently, Bitcoin are frequently labeled safe havens. This paper proposes a safe haven index (SHI) to benchmark safe haven assets and demonstrates that the SHI exhibits positive returns and increased volatility...

Assessing liquidity in fixed-income markets is becoming very important in the cur-rent context of extremely low interest rates which, in general terms, is encouraging the acquisition of riskier and (potentially) less liquid assets. Although there is the perception that bond market liquidity...

Safe haven assets play a crucial role in safeguarding portfolios during times of turmoil or crises. Gold is widely acknowledged to act as a safe haven asset for stock market portfolios. However, it remains unclear whether it should be held continuously as a strategic (passive) investment or...