-McGrevy and Phillips (2016) to estimate bubbles contagion among these real estate markets. We found evidence of housing prices … exuberance in all these markets. Results suggest that Germany, France, Spain, and the Netherlands experienced a bubble during 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 …

, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the … on financial markets and the wider economy. They can, for example, bias the private provision of real liquidity and …

This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …

cost of borrowing of these countries on stock returns of banks from other countries. We find that tail sovereign GIIPS CDS … positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … benchmark specification, holdings of peripheral country bonds by banks from other countries do not constitute a statistically or …

increase a sector's vulnerability to shocks and contagion. - Balance sheet contagion ; financial accounts ; network models …