We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European...

We assess the role of financial linkages in the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a vector autoregressive model of daily sovereign CDS premia for eleven European...

The last stage of the current economic crisis is mainly focused in Europe and, especially, in Portugal, Ireland, Greece and Spain. The severity of their public sector crisis could be a serious problem for the future of the Euro and the European project. As a consequence of it, sovereign bond...

In this paper, I use multivariate time series models in order to analyze the evolution of European Sovereign CDS spreads during the recent crisis. I find evidence that sovereigns' credit risk premia are non-stationary but cointegrated with simple measures of the countries' indebtedness and the...