This aim of this paper is to test whether or not there was evidence of financial crises ‘contagion’. The sovereignty … debt bonds data for Brazil, Mexico, Russia and Argentine were used to implement such test. The ‘contagion’ hypothesis is … tested using multivariate volatility models. It’s considered evidence in favor of ‘contagion’ hypothesis if there is …

existence of pure contagion (Masson, 1999) rather than shift-contagion (Rigobon, 2003). Then, we explicitly define financial … “contagion” in accordance with Eichengreen et al. (1996) and we extend the Cerra and Saxena (2002) methodology by using a Markov … subprime crisis. In addition, there is evidence of mean and volatility contagion in MENA stock markets caused by the US stock …

of the model to characterize contagion among the ten series. Our procedure allows the country that triggers contagion in … sovereign debt crisis, contagion has played a non-negligible role in the European peripheral countries, which confirms the …

, which can be used to identify the channels of spillovers. We find some evidence of financial contagion around the collapse …

symptom of financial contagion around the collapse of Lehman Brothers in September 2008. There appears to be a regime shift to …

implying “macro-financial” contagion. The crisis-specific analysis of macro-financial linkages broadens the perspective of … existing studies of financial contagion. Our findings indicate that the stock market does not merely reflect future economic …

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 …

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 …

(i.e. tests for shift-contagion) relative to a wide group of other emerging countries for the period 2002:01-2011:10. The … shift contagion tests indicate that the adverse effects of the crisis episodes on Turkish financial markets have been …