fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the … contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered … variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation …

fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the … contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered … variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation …

offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt … period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the …

offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt … period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the …

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 …

causality between the two measures of risk in 10 euro area countries, allowing us to check for contagion in the form of a … significant and abrupt increase in short-run causal linkages. The empirical results indicate that episodes of contagion vary … contagion, mainly from banks to sovereigns. …

causality between the two measures of risk in 10 euro area countries, allowing us to check for contagion in the form of a … significant and abrupt increase in short-run causal linkages. The empirical results indicate that episodes of contagion vary … contagion, mainly from banks to sovereigns. …