Bacchiocchi, Emanuele; Dragomirescu-Gaina, Catalin - 2022 - This draft: July 2022
to a multi-country setting. Within the Euro Area, we find evidence of sizable spill-overs arising from country … sovereign yields within and outside the Euro Area suggests strong within institutional arrangements and risk-sharing mechanisms … identified uncertainty shocks with the highest potential to spill over abroad, thus filling a leadership vacuum within the Euro …