among a sample of Euro area countries during the recent Lehman default and sovereign debt crisis. To test for contagion, we …The recent Euro area crisis, which has originally been driven mainly by macroeconomic factors, has had a strong impact … pre-crisis “tranquil” periods, thus pointing out the occurrence of contagion phenomenon among Euro area countries during …

In 2007, countries in the euro periphery were enjoying stable growth, low deficits, and low spreads. Then the financial … crisis erupted and pushed them into deep recessions, raising their deficits and debt levels. By 2010, they were facing severe … debt problems. Spreads increased and, surprisingly, so did the share of the debt held by domestic creditors. Credit was …