debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … same time, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion …

stock market. We conduct our analysis by explicitly considering the distinction between interdependence and contagion. By … equilibrium for US shares? Is there short-term interdependence and contagion between US and European stock markets, i.e. do short …

wealth transfers to or from the Periphery countries. These implicit transfers are responsible for creating contagion among …

unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …