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 …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more …