This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …

European countries. The approach allows to distinguish two channels of contagion by identifying bailout and sovereign risk … generates a persistent decrease in the default risk of the US banking sector. The bank-sovereign risk contagion is stronger in …

spreads reflect breaks in the instantaneous shock propagation mechanisms between the spreads (contagion), changing dynamical … shock propagation mechanisms is introduced. Our results show that although contagion appears as the single most important …

-directional causality between ratings and spreads within 1–2 weeks; spillover effects especially among EMU countries and from lower rated …

We investigate how split ratings influence the information content of credit rating events on the sovereign bond … markets during 2000–2012. We find that market reactions are far stronger for negative events on the inferior ratings and for … positive events on the superior ratings. Such evidence suggests aversion of market participants to the ambiguity inherent in …

contagion hypothesis through the liquidity channel on stock-bond relationships of the US and five European countries before and … effect as a source of contagion for the majority of countries. Nevertheless, we uncover evidence of investor induced … contagion sourced by the portfolio rebalancing effect for correlations involving Spanish and Italian bonds during the debt …