This paper analyzes sovereign risk contagion in the Eurozone using an extension to the canonical model for contagion proposed by Pesaran and Pick (2007) and Metiu (2012) to allow for time-varying coefficients. This becomes necessary due to changes in the risk pricing of sovereign bonds since the...

The economic-political instability of a country, which is tied to its credit risk, often leads to sharp depreciation and heightened volatility in its currency. This paper shows that not only the creditworthiness of the euro-area countries with weaker fiscal positions but also that of the member...

Sovereigns default cyclically. History shows that this is a common path. With the restructuring process, sovereigns can regain access to international market after little time has passed. The Euro and Greek crises, the biggest in terms of default to date, showed various issues: countries have an...