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 spill overs and contagion have … markets. Finally, empirical models with economic fundamentals generally do a poor job in explaining sovereign risk in the pre-crisis …

This paper is an event study focusing on the global effects of the euro debt crisis in 2010-2013. After identifying 18 … key exogenous crisis events, I analyze the impact on equity returns, exchange rates and government bond yields in 12 … advanced and 13 emerging countries. The main effect of euro debt crisis events is a rise in global risk aversion accompanied by …

exists. In equilibrium, banks' rational expectations of a bailout ensure that no equity is issued and the sovereign-bank loop …

financial and sovereign debt crisis in Europe. We find that stress i) leads some banks to borrow in the market at rates that are … information problems in crisis times. We exploit euro area payments data to construct a novel dataset of interbank lending and …

We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the … dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence …-to-quality effect. Common news about the euro crisis and news about specific countries itself tend to raise the covariance of yields …

Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to …

During the sovereign debt crisis investors rebalanced out of stressed and into non-stressed euro area countries …

the euro area during the sovereign debt crisis, and in credit developments characterising the post-crisis recovery … strong determinants of credit rejections, in the crisis period bank weakness made it harder to obtain external finance for …