This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

This paper proposes a framework for modelling financial contagion that is based on SIR (Susceptible …-Infected-Recovered) transmission models from epidemic theory. This class of models addresses two important features of contagion modelling, which are a …

We examine the existence of stock market contagion effects among three groups of countries: the Euro … market data from January 2004 till March 2013, contagion effects for the tails of the marginal distributions are present for … Non-Euro and the Euro-core groups. We do not find a significant change in the contagion transmission mechanism when …

political environment and is frequently associated with contagion risk and increased cross-market linkages. This phenomenon …

The main objective of this paper is to detect the existence of financial contagion between the North American and … by means of the dynamic conditional correlation model (DCC). Once the DCC is estimated, the contagion between both … related to uncertainty in the markets. The results show that there was contagion between the United States and European …

This paper analyzes whether or not the contagion effect exists among the seven former-Soviet economies in Eastern … period employed in this research give an opportunity to test for two hypotheses on the contagion effect: First, the “flight … to quality” hypothesis suggested by Favero and Giavazzi (2002) and second, the “political contagion” hypothesis offered …