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This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10011731038
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This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms …, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …
Persistent link: https://www.econbiz.de/10010527055
positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …
Persistent link: https://www.econbiz.de/10011963385
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This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10013088213
Persistent link: https://www.econbiz.de/10010236860
The last stage of the current economic crisis is mainly focused in Europe and, especially, in Portugal, Ireland, Greece and Spain. The severity of their public sector crisis could be a serious problem for the future of the Euro and the European project. As a consequence of it, sovereign bond...
Persistent link: https://www.econbiz.de/10013122709
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