experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally …We offer a detailed empirical investigation of the European sovereign debt crisis based on the theoretical model by … before August 2007 to one driven by macro-fundamentals and international risk thereafter. The majority of EMU countries have …

experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally …We offer a detailed empirical investigation of the European sovereign debt crisis based on the theoretical model by … before August 2007 to one driven by macro-fundamentals and international risk thereafter. The majority of EMU countries have …

thereafter. We find evidence of contagion effects, particularly among EMU periphery countries. The EMU debt crisis is divided … into an early and current crisis period. Unlike the former where contagion was mainly originating from Greece, the latter … involves multiple sources of contagion. Finally, the escalation of the Greek debt crisis since November 2009 is due to an …

experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally …We offer a detailed empirical investigation of the European sovereign debt crisis based on the theoretical model by … before August 2007 to one driven by macro-fundamentals and international risk thereafter. The majority of EMU countries have …

characterised by a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and … between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond …

a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and residual … between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply … interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime …

characterised by a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and … between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond …

a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and residual … between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply … interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime …

aftermath of global financial crisis (2008-2009), exert contagion effects on emerging equity and sovereign bond markets. To this … estimated DCC immediately after the Lehman Brothers failure in September 2008. We refer this finding as contagion from U …