This paper proposes a framework for modelling financial contagion that is based on SIR (Susceptible …-Infected-Recovered) transmission models from epidemic theory. This class of models addresses two important features of contagion modelling, which are a …

We examine the existence of stock market contagion effects among three groups of countries: the Euro … market data from January 2004 till March 2013, contagion effects for the tails of the marginal distributions are present for … Non-Euro and the Euro-core groups. We do not find a significant change in the contagion transmission mechanism when …

existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with an innovative narrative approach to separate out global and …

existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with a narrative approach to separate out global and euro area …

This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …

positive shocks, which creates moral hazard and is best explained by a “too-systemic-to-fail” effect. The contagion effects are … economically significant contagion channel for tail spread increases …