meaningful macro-financial linkages, i.e., taking into account spillover effects and other forms of contagion. We come up with an …

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. We define … contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is explained by common … factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants of contagion by …

debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the … spreads during the crisis, not only for euro area countries but globally. By contrast, regional spillovers and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …

by interbank lending. This paper shows that common regulation is also a conduit for interbank contagion. One bank …