We test whether the sharp increase in sovereign spreads of Euro area countries with respect to Germany observed after the burst of the Greek crisis on October 2009 is due to a deterioration of the macroeconomic and fiscal scenarios, or to some form of financial contagion. More in detail, we...

We test whether the sharp increase in sovereign spreads of euro area countries with respect to Germany after the explosion of the Greek crisis was due to deteriorating macroeconomic and fiscal fundamentals or to some form of financial contagion. Our analysis includes indicators of domestic and...