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 …

also is a channel for contagion. Using a sample of 37 Mexican banks, from December 2008 to September 2012, and a dynamic …