spreads appear immune after April 2010. We argue that this might reflect the ECB's efforts to stop contagion during the euro … commercial banks and sovereigns, and focus on two questions. First, have the ECB's open market operations reduced market stress …, was there contagion among and between banks and sovereigns? We find evidence for both. Interestingly, sovereign CDS …

This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …