Peer-Reviewed Journal Details
Mandatory Fields
Cronin D.;Flavin T.;Sheenan L.
2016
June
Economics Letters
Contagion in Eurozone sovereign bond markets? The good, the bad and the ugly
Published
()
Optional Fields
Contagion Eurozone sovereign bond crisis Interdependence
143
5
8
© 2016 Elsevier B.V. We test for contagion between Eurozone bond markets during the sovereign debt crisis. Using a three-regime Markov-switching VAR, we identify two distinct crisis phases (the bad and the ugly) with differing patterns of shock transmission. Evidence of contagion is scant.
0165-1765
10.1016/j.econlet.2016.02.031
Grant Details