thereafter. We find evidence of contagion effects, particularly among EMU periphery countries. The EMU debt crisis is divided … into an early and current crisis period. Unlike the former where contagion was mainly originating from Greece, the latter … involves multiple sources of contagion. Finally, the escalation of the Greek debt crisis since November 2009 is due to an …

aftermath of global financial crisis (2008-2009), exert contagion effects on emerging equity and sovereign bond markets. To this … estimated DCC immediately after the Lehman Brothers failure in September 2008. We refer this finding as contagion from U …

. It is necessary to analyze the contagion of losses among banks, especially the equilibrium of joint defaults and recovery … are modified by adding a premium to capture the contagion effects. …

Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and “wake-up call … 2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth …

, there is a growing literature on this topic. Perhaps the most serious market failure associated with crises is contagion …

Transition Conditional Correlation GARCH models (STCC-GARCH). Our results highlight the existence of contagion and â … 2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth …

This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive … analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to …

-sectional implications of multiple leverage cycles, including contagion, flight to collateral, and swings in the issuance volume of the …

decrease (divergence) or increase (contagion) in market co-movements. This study aims to analyse the extent to which daily …