allowed to depend on macroeconomic conditions as well as on unobservable credit risk factors, which can capture contagion …

the real-time estimates of the model to characterize contagion among the ten series. Our procedure allows the country that … triggers contagion in each period, which can be any peripheral economy, to be disentangled. According to our findings, since … the onset of the sovereign debt crisis, contagion has played a non-negligible role in the European peripheral countries …

contagion depends on the precise pattern of interbank linkages. We use balance sheet information to estimate the matrix of … contagion. We find that the financial safety net (institutional guarantees for saving banks and cooperative banks) considerably … reduces - but does not eliminate - the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In … existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a … questions. For that purpose, we propose to measure the potential cost of contagion of a given shock scenario by the aggregated …