This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

connectedness measures find distinct and complementary information from CDS and bond yield data on European area sovereign risk. The … detection and use of these second moment di erences of CDS and bond data is new to the literature and allows to identify …

We document the existence of a global monetary policy factor in sovereign bond yields in a panel of 45 countries … points for B rated sovereigns. Fiscally weaker Eurozone countries benefited most from Quantitative Easing, with their …-crisis levels may lead to sharp increases in sovereign bond yields globally with severe consequences for financial stability …

the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …

yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in … the German's bond yields, although the Germany's rating status was never touched by CRA. There is no evidence for Granger … causality from bond yields to rating announcements. We infer from this findings that CRA announcements significantly influenced …

We document the existence of a global monetary policy factor in sovereign bond yields, related to the size of the … of expanding fiscal deficits on global bond yields, driving them to even lower levels. Our findings have important policy … increases in sovereign bond yields globally, widening spreads and currency depreciations of vulnerable sovereigns with severe …