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 …

portfolio contagion. In a complementary regression analysis, the effect of counterparty risk on Credit Default Swap (CDS …

Since the onset of the eurozone sovereign debt crisis, credit risk spreads in Europe have diverged. Despite this … divergence, credit risk comoves strongly within certain country groups such as the eurozone periphery. We seek to answer what the … have been subject to contagion. We proceed in three steps. First, we apply dynamic conditional correlations from a …