This paper develops a quantitative model of debt, default, and contagion of financial crises for small open economies … explanation of the contagion of financial crises. …

improving, makes countries more dependent on other countries' fundamentals so that it may induce more contagion: a negative …

This paper develops a quantitative model of contagion of financial crisis and sovereign default for small open … explanation of the contagion of financial crises. The model shows that whenever a country suffers a domestic shock that forces it …, producing a contagion of the crisis in those countries whose fundamentals are not solid enough. Also, even when the crisis in a …

' banks in the Peripheral countries' financial assets. In order to endogenize the possibility of contagion effects, we conduct … competitiveness seem to originate the exceptional increases in sovereign spreads of the Periphery, through a contagion effect which is …

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. …

existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with a narrative approach to separate out global and euro area …

This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several …

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 …

contagion, flight to liquidity and issuance rationing can occur in equilibrium during what we call global anxious times. …

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 …