explained by wake-up-call contagion. Evidence on pure contagion however is very mixed and there are no insights into the … dynamics of these effects. As a contribution to fill this gap, we apply the canonical contagion framework of Pesaran and Pick … [2007], similar to Metiu [2012], for daily data from January 2002 until May 2013. By adapting the contagion function used by …

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 …