Pelizzon, Loriana; Rigobon, Roberto; Caporin, Massimiliano - National Bureau of Economic Research (NBER) - 2013
This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major … risk spillover among these countries is not affected by the size of the shock, implying that so far contagion has remained … contagion. This methodology is particularly well-suited to deal with nonlinear and unstable transmission mechanisms. …