-2011) which enables us to analyse changes in the dynamics of sovereign risk contagion between these two datasets. By using a panel … affected by the turmoil in the peripheral countries during the sovereign debt crisis. In contrast, we find strong contagion … countries in terms of reducing contagion risk across the euro area, our analysis shows, that they did not have an effect for the …

horizons, and through time. We divide the countries into three groups; the Core of the Eurozone, the Periphery of the Eurozone … and the states outside the Eurozone. Results indicate that co-movement considerably decreased in the crisis period for all …