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.