Beyond spreads: Measuring sovereign market stress in the euro area

被引：18

作者：

Garcia-de-Andoain, Carlos ^{[1
]}

Kremer, Manfred ^{[1
]}

机构：

[1] European Cent Bank, Sonnemannstr 20, D-60314 Frankfurt, Germany

来源：

ECONOMICS LETTERS | 2017年 / 159卷

关键词：

Financial stress index; Systemic risk; Sovereign debt crisis; Spillover index; MODELS;

D O I：

10.1016/j.econlet.2017.06.042

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop a novel composite indicator to measure sovereign bond market stress in the euro area. The indicator integrates yield and liquidity spreads along with volatility 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. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：153 / 156

页数：4

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