This paper presents a general test of contagion in financial markets based on bivariate correlation analysis � a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … hypothesis of 'no contagion' can be rejected only if the variance of country specific shocks is set to levels that are not …

contagion over but these measures become less effective when the shock is very large, when the situation is best addressed by …

contagion. Our analysis includes indicators of domestic and external imbalances which were mostly disregarded by previous … creditworthiness of a sovereign borrower (wake-up-call contagion) and behaviour not linked to fundamentals (pure contagion). We find … evidence of wake-up-call contagion but not of pure contagion. …

shocks. We first review the different definitions and measures of contagion used in the literature. We then use a simple … multi-country asset pricing model to cast the main elements of the current debate on contagion and provide a stylized … classification, we survey the results obtained in the empirical literature on contagion. …

distress and contagion are also confirmed by many recent empirical studies. By contrast, according to empirical analyses, the …