spreads appear immune after April 2010. We argue that this might reflect the ECB's efforts to stop contagion during the euro … commercial banks and sovereigns, and focus on two questions. First, have the ECB's open market operations reduced market stress …, was there contagion among and between banks and sovereigns? We find evidence for both. Interestingly, sovereign CDS …

tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in … European Central Bank’s (ECB’s) announcement of its Outright Monetary Transactions (OMT) program in 2012. At the same time …, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion. While this …