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 … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

We examine contagion from a number of financial systems to the German financial system using the information content of … evidence for contagion from the US and European financial systems. Our results additionally confirm that the set up of the … financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our …

tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … European Central Bank's (ECB's) announcement of its Outright Monetary Transactions (OMT) program in 2012. At the same time …, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion. While this …

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this … spillovers. We define contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is … of contagion by analyzing bank-specific as well as country-specific variables and their interaction. We provide empirical …

institutes in the sample. In stress tests, up to one fifth of the CDS spread changes are owing to financial contagion. These …