debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

correlation analysis and the Granger-causality test demonstrate that there was contagion effect since correlations and cross … capacity to trigger contagion than core EU countries. Besides, Portugal is the most vulnerable country in the sample, whereas …

explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the … dynamics of these effects. As a contribution to fill this gap, we apply the canonical contagion framework of Pesaran and Pick … [2007], similar to Metiu [2012], for daily data from January 2002 until May 2013. By adapting the contagion function used by …

In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main …