members. We show that whenever it is possible to estimate a model for interdependence, a test for contagion based o a full … of interdependence. Using data on three-month interest rate spreads on German rates for seven countries over the period …

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

function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates … sequence of elementary, bivariate, interdependence-increasing transformations, and develop methods for determining whether such …

simplified models of hypothetical economies, and has therefore failed to clarify the implications of interdependence for policy … the importance of spillover effects in policy design. The results indicate that interdependence has strong but asymmetric …

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It …