Beyond spreads: Measuring sovereign market stress in the euro area

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.