developed and emerging economies during the recent sovereign debt crisis. Interdependence and contagion are found on the market … comes from spillovers, (iii) there is a significant time-variation in spillovers, with contagion from distressed countries …

Financial contagion studies generally examine whether co-movement between markets increases during a crisis. We use a …

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 …

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 …

based on di¤erent tests of contagion and investigate whether the transmission of crises across countries can be related to … similar debt conditions. We compare the role of debt stocks and ows to traditional channels for contagion based on regional … role than trade linkages in driving contagion across equity markets. …

contagion of the U.S. financial crisis by constructing shock models for partially overlapping and non-overlapping markets. There … exists important bi-directional, yet asymmetric, interdependence and contagion in emerging markets, with important regional … variations. Interdependence is driven more by U.S. shocks, while contagion is driven more by emerging market shocks. Frontier …

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

We examine whether contagion tests are affected by controls for volatility clustering and the collection of …