This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the … dynamics of these effects. As a contribution to fill this gap, we apply the canonical contagion framework of Pesaran and Pick … [2007], similar to Metiu [2012], for daily data from January 2002 until May 2013. By adapting the contagion function used by …

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent … financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a … bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the … introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the …

tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in …, Italy and Spain became more interdependent after the OMT announcement, providing our only evidence of contagion. While this …

This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …

on policy coordination and the way contagion can be avoided. In addition we assess the practical political implementation …