Measuring sovereign contagion in Europe

Arbeitspapier

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 quantile regressions (standard quantile regression and Bayesian quantile regression with heteroskedasticity) we find that the propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation we have witnessed over the last years come from larger shocks propagated with higher intensity across Europe.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SAFE Working Paper ; No. 103

Classification and Topics

• Classification: Wirtschaft ; Central Banks and Their Policies ; International Lending and Debt Problems ; Financial Aspects of Economic Integration ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets
• Subject: Sovereign Risk ; Contagion ; Disintegration

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Caporin, Massimiliano ; Pelizzon, Loriana ; Ravazzolo, Francesco ; Rigobon, Roberto
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
• (where): Frankfurt a. M.
• (when): 2015

Further information

• DOI: doi:10.2139/ssrn.2606508
• Handle: http://hdl.handle.net/10419/110415
• URN: urn:nbn:de:hebis:30:3-374482
• Last update: 10.03.2025, 11:42 AM CET