fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the … contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered … variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation …

offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt … period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the …

offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt … period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the …

offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt … period, and the intensification of causality recorded in 70% of the cases provide clear evidence of contagion in the …

causality between the two measures of risk in 10 euro area countries, allowing us to check for contagion in the form of a … significant and abrupt increase in short-run causal linkages. The empirical results indicate that episodes of contagion vary … contagion, mainly from banks to sovereigns. …

causality between the two measures of risk in 10 euro area countries, allowing us to check for contagion in the form of a … significant and abrupt increase in short-run causal linkages. The empirical results indicate that episodes of contagion vary … contagion, mainly from banks to sovereigns. …