correlation analysis and the Granger-causality test demonstrate that there was contagion effect since correlations and cross … capacity to trigger contagion than core EU countries. Besides, Portugal is the most vulnerable country in the sample, whereas …

This paper extends the canonical model of contagion proposed by Pesaran and Pick [Pesaran, M.H., Pick, A., 2007 …. Econometric issues in the analysis of contagion. Journal of Economic Dynamics and Control 31, 1245–1277] in order to test for … contagion of credit events in Euro area sovereign bond markets. We find evidence for significant contagion effects among long …

Bayesian approach. Our main findings suggest that differences exist in the contagion effects. This implies that no …

In this research we analysed the contagion of 4 major global crises that are occured after 1990 on ISE conditional … of contagion towards Dow Jones Composite Index to ISE-100 Index during the first 1 year period of the last global crises … that is assumed to be started in 11th September 2008. But the contagion is seen in the second 1 year period (14th September …

This paper analyzes whether or not the contagion effect exists among the seven former-Soviet economies in Eastern … period employed in this research give an opportunity to test for two hypotheses on the contagion effect: First, the “flight … to quality” hypothesis suggested by Favero and Giavazzi (2002) and second, the “political contagion” hypothesis offered …

, including contagion, flight to collateral, and swings in the issuance volume of the highest quality debt. We explain the …

aggravating financial instability. In the EU and more specifically the Euro Area, multiple channels of spillovers and contagion …

aggravating financial instability. In the EU and more specifically the Euro Area, multiple channels of spillovers and contagion …

, both univariate (ARCH - GARCH) and multivariate (VAR), are used to estimate the effect foreign portfolio flows on the risk …

, systemic events may also occur with a time-lag to the triggering event. To study this contagion period and the resulting …