Other Publication Details
Mandatory Fields
Working Paper
Cronin, D., Flavin, T.J. and L.S. Sheenan
2016
April
Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly
Author
Published
0
()
Optional Fields
We analyse the stability of linkages across Eurozone bond markets during the sovereign debt crisis. We distinguish between contagion and interdependencies as mechanisms for spreading the turmoil across bond markets. Using a three-regime Markov switching VAR, we identify two distinct phases of the crisis - the bad and the ugly - and find differences in shock transmission between them. Overall, evidence of contagion is scant and interdependence is the more common determinant of market comovements.
https://ideas.repec.org/p/may/mayecw/n267-16.pdf.html
1
20
Grant Details