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Beyond spreads: Measuring sovereign market stress in the euro area

Carlos Garcia-de-Andoain () and Manfred Kremer ()

Economics Letters, 2017, vol. 159, issue C, 153-156

Abstract: 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.

Keywords: Financial stress index; Systemic risk; Sovereign debt crisis; Spillover index (search for similar items in EconPapers)
JEL-codes: C43 E44 F45 G01 H63 (search for similar items in EconPapers)
Date: 2017
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