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 …

correlation analysis and the Granger-causality test demonstrate that there was contagion effect since correlations and cross … the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower … capacity to trigger contagion than core EU countries. Besides, Portugal is the most vulnerable country in the sample, whereas …

existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with a narrative approach to separate out global and euro area …

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 …

newly-constructed measures of contagion shocks. These new measures capture well the contagion observed e.g. in the wake of … the Mexican and Asian crises, and confirm that contagion shocks observed in 2009/10 dwarfed those observed during previous … international financial integration are found to amplify contagion shocks and increase crisis risk, such as integration through …

integration has been a major vector of contagion, and even more so when cross-border bank lending was primarily short …-term. Vulnerability to contagion has been lower when global liquidity has been abundant, underlining the importance of major central banks …, typically through their effects on the composition of the external financial account or on the vulnerability to contagion …