This paper investigates if changes in network connectedness of European sovereign bond markets from 2005 to 2011 was an indicator of the subsequent financial crisis. The unified methodology proposed by Diebold and Yilmaz (2014) is used to overcome weaknesses in alternative methodologies to...

This paper examines the contagion of the eurozone debt crisis to developed and emerging stock markets around the world. Using the VAR methodology, and changes in sovereign bond yields and stock returns of the crisis countries as proxies for the eurozone debt crisis, this paper finds strong and...

This paper examines the propagation of volatility and liquidity shocks across major sovereign bond markets during the euro area sovereign debt crisis. Spillovers are measured via a forecast error variance decomposition of a vector autoregressive model, which captures jointly the dynamics of...

We study the dynamics of sovereign risk spillovers from (and between) Spain and Italy, before and after the ECB's announcement of the OMT program. We identify domestic Italian and Spanish sovereign risk shocks through an intraday event study. The shocks are used as external instruments in...

The Eurozone crisis is one the most important economic event in recent years. At its peak, the effects of the crisis have put at serious risk the outcome of the euro project, exposing the inherent weaknesses and vulnerabilities of the monetary union. As the degree of economic and financial...

In this paper we examine sovereign bond yield spread (BYS) spillovers between Euro zone countries during a turbulent period encompassing both the global financial crisis and the Euro zone debt crisis. Using the VAR-based spillover index approach of Diebold and Yilmaz (2012) and impulse response...

The global financial and the European debt crises categorized as Minsky's moments present the physical laboratory for studying spillover effects cross country and cross market. Our research based on the twin sovereign-banking crisis evolution of the euro debt crisis era, focuses on addressing...

This research analyzes and extend the study of contagion for BRICS Emerging Stock Markets in the context of the last two international financial crises: the Lehman Brothers Bankruptcy Crisis and the European Sovereign Debt Crisis. We investigate changes in the relationship and the co-movements...