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 analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms …, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …