characterised by a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and … between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond …

a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and residual … between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply … interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime …

-ordination. -- euro-area ; crisis ; spreads ; fundamentals ; expectations ; contagion ; speculation … experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally …We offer a detailed empirical investigation of the European sovereign debt crisis based on the theoretical model by …

a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at …This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played …

existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … shocks from country-specific shocks. Financial contagion has been widespread during the crisis in the euro area. Three …Financial market interdependence has been at the epicenter of the crisis in the euro area. This paper tests for the …

bubble, traders drive the price above its fundamental value in a dynamic way, driven by rational expectations about future …

sentiment indicators, explain 40% of the variability of risk premia before the crisis, and up to 55% during the financial crisis …