and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among …

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

and spillover is higher during bearish market states, highlighting the possibility of contagion effect mainly among …

This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion … contagion in typically bounded time intervals. Controlling for changes in the risk pricing by investors, we detect several … channels of pure contagion between 2008 and 2012. Further, we find that the bailout-programs for Greece, Ireland and Portugal …

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 …

systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding … channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more …