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 …

test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. JEL Classification: G12, C14, E43 …

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 spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

This paper tests financial contagion due to interbank linkages. For identification we exploit an idiosyncratic, sudden … contagion is higher for banks with weaker fundamentals. Third, interbank linkages among surviving banks further propagate the … linkages act as an important channel of contagion and hold important policy implications. JEL Classification: G21, G28, E58 …