interim phase, i.e. at the very peak of the European sovereign debt crisis. We show that endogenously identified turning …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … the empirical evidence on European sovereigns CDS spreads and estimate an econometric model where a crucial role is played … sovereign risk factor, a European sovereign risk factor and a Financial intermediaries risk factor. Our main findings are as …