This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …

positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate … interdependencies amongst the banking business in Europe and hence for the systemic risk potential. We employ several tests to assess … European banking business have become more similar and that the systemic risk potential has increased. …

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate … interdependencies amongst the banking business in Europe and hence for the systemic risk potential. We employ several tests to assess … European banking business have become more similar and that the systemic risk potential has increased. …

macroeconomic environment, affect the risk profiles of the banking sector in Europe. Through a dataset that covers 3,399 European … heterogeneity of banking risk determinants. I examine the implications of bank leverage that manifest itself as spreading and … provides a causal link between risk in the banking sector and the growth of the financial market and macroeconomy. I apply four …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more …

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major … risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained … contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms …

quantity-based indicators covering money, bond, equity and banking markets. Prior to aggregation, individual integration … composite indicators. This fragmentation trend reversed when the European banking union and the ECB's Outright Monetary …