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 …

terms of their equity prices, CDS spreads and expected default probabilities, while contagion across firms in both sectors …

considered to have a ‘cascading’, ‘domino’ or ‘contagion’ effect, resulting from strong connections. An initial failure could …