aggravating financial instability. In the EU and more specifically the Euro Area, multiple channels of spillovers and contagion …

This paper proposes an original three-part sequential testing procedure (STP), with which to test for contagion using a … test is applied to the correlation matrix to identify and date the potential contagion mechanism. As a third element, the … STP tests for the distinctiveness of the break dates previously found. Compared to traditional contagion tests in a …