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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 …
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This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...
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