crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and … and industrialized countries. Our results indicate that there were periods of contagion for CDS markets during the Greek … crash and their conclusion of no contagion, only interdependence. Especially for European countries we would instead …

In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the … transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four … components, the average potential spillover: i) amongst sovereigns, ii) amongst banks, iii) from sovereigns to banks, and iv …

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this … spillovers. We define contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is … of contagion by analyzing bank-specific as well as country-specific variables and their interaction. We provide empirical …

of individual bond markets in recent years has been impressive, the threat of financial contagion to emerging Asian bond …

CDS spreads became more prone to spillover effects during the financial crisis. …