, was there contagion among and between banks and sovereigns? We find evidence for both. Interestingly, sovereign CDS … spreads appear immune after April 2010. We argue that this might reflect the ECB's efforts to stop contagion during the euro …

We develop an operational model of information contagion and show how it may be integrated into a mainstream, top … quantify this contagion channel in the context of the Bank of Canada's model of the Canadian banking system and a stress …