debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …

This paper extends the canonical model of contagion proposed by Pesaran and Pick [Pesaran, M.H., Pick, A., 2007 …. Econometric issues in the analysis of contagion. Journal of Economic Dynamics and Control 31, 1245–1277] in order to test for … contagion of credit events in Euro area sovereign bond markets. We find evidence for significant contagion effects among long …

correlation analysis and the Granger-causality test demonstrate that there was contagion effect since correlations and cross … capacity to trigger contagion than core EU countries. Besides, Portugal is the most vulnerable country in the sample, whereas …

of contagion, suggesting strong and sudden increases in the cross-market synchronization of chronologically succeeding … into account, we find no evidence of contagion anymore. …

This paper investigates contagion between bank and sovereign default risk in Europe over the period 2007–2012. We … define contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is explained by … contagion by analyzing bank-specific as well as country-specific variables and their interaction. Using the EBA’s disclosure of …

This paper proposes new measures of financial contagion, as observed during the recent Eurozone sovereign debt crisis …. The new measures, referred to as contagion Value-at-Risk and contagion Expected Shortfall, are based on popular risk … model that disentangles contagion from interdependence. We find that contagion effects fluctuate dynamically, sometimes …