We test the hypothesis that the government bond markets in the Eurozone are more fragile and more susceptible to self-fulfilling liquidity crises than in stand-alone countries. We find evidence that a significant part of the surge in the spreads of the peripheral Eurozone countries during...

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 are not reflected in the risk pricing of...