, was there contagion among and between banks and sovereigns? We find evidence for both. Interestingly, sovereign CDS … spreads appear immune after April 2010. We argue that this might reflect the ECB's efforts to stop contagion during the euro …

distance, trade, and finance to the US subprime mortgage and Eurozone debt crisis areas. To understand the causes of the cross … primary contagion driver, rather than the trade channel. Given the substantial degree of financial contagion, I run a series … similarly severe contagion in the future, so long as there is not capital immobility to the degree that the local sovereign can …

Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this … divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the … have been subject to contagion. We proceed in three steps. First, we apply dynamic conditional correlations from a …

of contagion: systemic risk rankings based on market price estimates (e.g. CoVaR) are compared with the rankings obtained …