Bampinas, Georgios; Panagiotidis, Theodore; Politsidis, … - 2023
We examine the asymmetric and nonlinear nature of the cross- and intra-market linkages of eleven EMU sovereign bond and … first, extends from late 2009 to mid 2011 and concerns the outright contagion transmission from EMU South bond markets … characterized by contagion from (i) CDS spreads in the EMU South towards bond yields in the same bloc and Belgium, and (ii) from …