Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2015
This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms …, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …
