(2000), we provide a model of international contagion allowing for bank bail-outs financed by distortionary taxes. In the …

intervention have stronger effects beyond borders. We provide a model of international contagion allowing for bank bailouts. While …

This paper builds a general test of contagion in financial markets based on bivariate correlation analysis – a test … that can be interpreted as an extension of the normal correlation theorem. Contagion is defined as a structural break in … contagion is successful in controlling for a potential bias induced by changes in the variance of global shocks, current tests …

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small …. By contrast, there has been substantial contagion from domestic markets to individual domestic portfolios, with its …

unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and … contagion from domestic equity markets to individual domestic equity portfolios, with its severity inversely related to the …

test for contagion by applying the multivariate structural break test of Qu and Perron (2007) on this FAVAR detecting … Spain are central to shock transmission during the financial crisis. Contagion has been a rather rare phenomenon limited to … frequent surges in market co-movement are driven by larger shocks rather than by contagion. …

debt crisis, elections in European countries have stronger contagion effects in their own region during a global slowdown …

of individual bond markets in recent years has been impressive, the threat of financial contagion to emerging Asian bond …