market. We study sovereign credit contagion through the immediate effects of credit events as defined by CDS spread jumps on …” contagion has been primarily a regional phenomenon, however, a global “slow-burn” spillover of credit events was also in force …

debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

taking place after 2007. We analyze contagion by studying the immediate effects of these events on CDS spreads of other … that such “fast and furious” contagion has been by and large a regional phenomenon. To analyze “slow burn” spillover …

This research analyzes and extend the study of contagion for BRICS Emerging Stock Markets in the context of the last … research tests for contagion, examining the interactions and characteristics of price movements of BRICS stock markets by … towards the occurrence of contagion phenomenon among BRICS markets during the last two crises. These findings also indicate …

have been subject to contagion. We proceed in three steps. First, we apply dynamic conditional correlations from a … simple interdependence from contagion. Third, we analyze the determinants behind credit risk co-movements and the role of … contagion using regression analysis. Our results reveal a high degree of co-movements in sovereign credit risk, especially for …