This paper uses index number theory to disentangle changes in aggregate retail interest rates due to changes in …"), on the basis of the "difference" index numbers recently revisited by Diewert (2005). The paper, first discusses the … optimal calculation of a binary index using axiomatic index number theory; on that basis, chain and direct indices are …

We implement a two-step approach to construct a financing conditions index (FCI) for the euro area and its four larger …

The paper develops a financial systemic stress index (FSSI) for Greece. We present a methodology for constructing and … evaluating a systemic stress index which: i) adopts the suggestion of Hollo et al. (2012) [Hollo, Kremer, and Lo Duca (2012 …

introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … relationship between observed index returns and macroeconomic news as well as market based proxies of default risk, interest rates …

We propose a new and time-varying optimum currency area (OCA) index for the euro area in assessing the evolution of the … index, nevertheless, shows that cyclical convergence among euro area members is not a steady process as it tends to be … index embarks on a recovery trajectory catching up with its pre-crisis level. Our OCA index is slow-moving and a good …