Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe. (2014). Vašíček, Bořek ; Claeys, Peter ; Vaiek, Boek .
In: Working Paper Series.
RePEc:ecb:ecbwps:20141666.

Full description at Econpapers || Download paper

Cited: 141

Citations received by this document

Cites: 43

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. The Changing Behavior of the European Credit Default Swap Spreads During the Covid-19 Pandemic: A Bayesian Network Analysis. (2024). Önder, A. Özlem ; Kila, Gul Huyuguzel ; Cinicioglu, Esma Nur ; Muradolu, Gulnur Y.
    In: Computational Economics.
    RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10489-x.

    Full description at Econpapers || Download paper

  2. New Insights into Liquidity Resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; O'Sullivan, Conall.
    In: Post-Print.
    RePEc:hal:journl:hal-04432411.

    Full description at Econpapers || Download paper

  3. Bond market spillover networks of ASEAN-4 markets: Is the global pandemic different?. (2024). Uddin, Gazi ; PARK, DONGHYUN ; Yahya, Muhammad ; Tian, Shu ; Hedstrom, Axel.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:92:y:2024:i:c:p:1028-1044.

    Full description at Econpapers || Download paper

  4. Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves. (2024). Su, GE ; Hong, Zhiwu ; Lin, Mucai.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:91:y:2024:i:c:p:597-615.

    Full description at Econpapers || Download paper

  5. Oil shocks and financial stability in MENA countries. (2024). Sousa, Ricardo ; Sohag, Kazi ; Elsayed, Ahmed.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000205.

    Full description at Econpapers || Download paper

  6. Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697.

    Full description at Econpapers || Download paper

  7. New insights into liquidity resiliency. (2024). Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall ; Wafula, Ronald Wekesa.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609.

    Full description at Econpapers || Download paper

  8. Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets. (2024). Uddin, Gazi ; Allahdadi, Mohammad Reza ; Yahya, Muhammad ; Wang, Gang-Jin ; Park, Donghyun.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011200.

    Full description at Econpapers || Download paper

  9. Portfolio balance effect of the U.S. QE between commodities and financial assets in commodity-exporting countries. (2024). Lau, Wee Yeap ; Brooks, Robert ; Yip, Pick Schen.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001505.

    Full description at Econpapers || Download paper

  10. Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective. (2024). Peng, Hongjuan ; Tang, Pan ; Zhang, Ditian ; Zhuang, Yangyang.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001870.

    Full description at Econpapers || Download paper

  11. The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

    Full description at Econpapers || Download paper

  12. Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi.
    In: Australian Economic Papers.
    RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

    Full description at Econpapers || Download paper

  13. Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao.
    In: Papers.
    RePEc:arx:papers:2404.04335.

    Full description at Econpapers || Download paper

  14. .

    Full description at Econpapers || Download paper

  15. Return and Volatility Connectedness in Foreign Exchange Markets of Sierra Leone. (2023). Osabuohien, Evans ; Johnson, Leroy.
    In: MPRA Paper.
    RePEc:pra:mprapa:118135.

    Full description at Econpapers || Download paper

  16. Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios.
    In: Post-Print.
    RePEc:hal:journl:hal-04164277.

    Full description at Econpapers || Download paper

  17. Information spillovers in Hong Kong REITs and related asset markets. (2023). Liao, Shufei ; Chen, Yan ; Liu, Jian ; Fu, Yongge ; Cheng, Cheng.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:92:y:2023:i:c:p:215-229.

    Full description at Econpapers || Download paper

  18. Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031.

    Full description at Econpapers || Download paper

  19. Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256.

    Full description at Econpapers || Download paper

  20. The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

    Full description at Econpapers || Download paper

  21. What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

    Full description at Econpapers || Download paper

  22. The crucial role of the five-year Treasury in the US yield curve. (2023). Chen, Yu-Lun.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003447.

    Full description at Econpapers || Download paper

  23. Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919.

    Full description at Econpapers || Download paper

  24. Estimation of panel group structure models with structural breaks in group memberships and coefficients. (2023). Okui, Ryo ; Wang, Wendun ; Lumsdaine, Robin L.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:233:y:2023:i:1:p:45-65.

    Full description at Econpapers || Download paper

  25. .

    Full description at Econpapers || Download paper

  26. .

    Full description at Econpapers || Download paper

  27. Sovereign bond yield spreads spillovers in the Economic and Monetary Union. (2022). Afonso, Antonio ; Kazemi, Mina.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2615-2626.

    Full description at Econpapers || Download paper

  28. Financial contagion in real economy: The key role of policy uncertainty. (2022). Umar, Zaghum ; Kampouris, Elias ; Samitas, Aristeidis.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1633-1682.

    Full description at Econpapers || Download paper

  29. On the solution of games with arbitrary payoffs: An application to an over-the-counter financial market. (2022). Papavassiliou, Vassilios ; Leventides, John ; Kollias, Iraklis.
    In: Working Papers.
    RePEc:ucd:wpaper:202302.

    Full description at Econpapers || Download paper

  30. Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?. (2022). Hemrit, Wael ; Benlagha, Noureddine.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:46:y:2022:i:1:d:10.1007_s12197-021-09554-8.

    Full description at Econpapers || Download paper

  31. Spatial contagion between financial markets: new evidence of asymmetric measures. (2022). Sahut, Jean-Michel ; Ftiti, Zied ; Miled, Wafa.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-04223-9.

    Full description at Econpapers || Download paper

  32. NFTs Emergence in Financial Markets and their Correlation with DeFis and Cryptocurrencies. (2022). Alshamali, Nour ; Alawadhi, Khuloud M.
    In: Applied Economics and Finance.
    RePEc:rfa:aefjnl:v:9:y:2022:i:1:p:108-120.

    Full description at Econpapers || Download paper

  33. Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. (2022). Onder, Ozlem A ; Muradolu, Gulnur Y ; Kila, Gul Huyuguzel.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00263-3.

    Full description at Econpapers || Download paper

  34. Risk, financial stability and FDI. (2022). Lamla, Michael ; Kontonikas, Alexandros ; Kellard, Neil M ; Wood, Geoffrey ; Maiani, Stefano.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560620301881.

    Full description at Econpapers || Download paper

  35. Sovereign bond market spillovers from crisis-time developments in Greece. (2022). Zigraiova, Diana ; Clancy, Daragh ; Gabriele, Carmine.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000464.

    Full description at Econpapers || Download paper

  36. Does the world smile together? A network analysis of global index option implied volatilities. (2022). Tang, Jing ; Ryu, Doojin ; Han, Qian ; Chen, Jing.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:77:y:2022:i:c:s1042443121002018.

    Full description at Econpapers || Download paper

  37. Assessing the impact of policy and regulation interventions in European sovereign credit risk networks: What worked best?. (2022). Urban, Jorg ; Schienle, Melanie ; Buse, Rebekka.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:139:y:2022:i:c:s0022199622001052.

    Full description at Econpapers || Download paper

  38. Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic. (2022). Sharma, Abhijit ; Ozkan, Aydin ; Grillini, Stefano.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002307.

    Full description at Econpapers || Download paper

  39. Covid-19 pandemic and spillover effects in stock markets: A financial network approach. (2022). Polyzos, Stathis ; Kampouris, Elias ; Samitas, Aristeidis.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003197.

    Full description at Econpapers || Download paper

  40. COVID-19 related media sentiment and the yield curve of G-7 economies. (2022). Vo, Xuan Vinh ; Azman, Mukhriz Izraf ; Umar, Zaghum ; Aharon, David Y.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:61:y:2022:i:c:s106294082200033x.

    Full description at Econpapers || Download paper

  41. .

    Full description at Econpapers || Download paper

  42. .

    Full description at Econpapers || Download paper

  43. .

    Full description at Econpapers || Download paper

  44. .

    Full description at Econpapers || Download paper

  45. The contagion phenomena of the Brexit process on main stock markets. (2021). Iiguez, Cristina ; Escribano, Ana.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481.

    Full description at Econpapers || Download paper

  46. Not everyone is a follower: The behaviour of interest rate and equity markets within major economies relative to the United States. (2021). Fabozzi, Frank J ; Tunaru, Diana.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2335-2350.

    Full description at Econpapers || Download paper

  47. The Spillover Effect on the CEE Equity Markets and the Financial Contagion in the Context of Financial Integration. (2021). Lolea, Iulian Cornel ; Stamule, Simona ; Com, Contactcbyahoo.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2021:i:4:p:155-170.

    Full description at Econpapers || Download paper

  48. Unconventional Monetary Policy and Bond Market Connectedness in the New Normal. (2021). Yilmaz, Kamil ; Akovali, Umut.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:2101.

    Full description at Econpapers || Download paper

  49. A new test for common breaks in heterogeneous panel data models. (2021). Kurozumi, Eiji ; Jiang, Peiyun.
    In: Discussion paper series.
    RePEc:hit:hiasdp:hias-e-107.

    Full description at Econpapers || Download paper

  50. Liquidity Spill-Overs in Sovereign Bond Market: An Intra-Day Study of Trade Shocks in Calm and Stressful Market Conditions. (2021). TERESIENE, DEIMANTE ; Kanapickiene, Rasa ; Jurksas, Linas.
    In: Economies.
    RePEc:gam:jecomi:v:9:y:2021:i:1:p:35-:d:514849.

    Full description at Econpapers || Download paper

  51. Financial Spillover and Contagion Risks in the Euro Area in 2007-2019. (2021). Vogel, Lukas ; Vašíček, Bořek ; Vaiek, Boek ; Perticari, Francesco ; Monteiro, Daniel ; Lorenzani, Dimitri ; Garcia, Roman.
    In: European Economy - Discussion Papers 2015 -.
    RePEc:euf:dispap:137.

    Full description at Econpapers || Download paper

  52. An analysis of network filtering methods to sovereign bond yields during COVID-19. (2021). Fille, Erika ; Chhajer, Harsh ; Granados, Oscar M ; Pang, Raymond Ka-Kay.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:574:y:2021:i:c:s0378437121002673.

    Full description at Econpapers || Download paper

  53. From dotcom to Covid-19: A convergence analysis of Islamic investments. (2021). Kenourgios, Dimitris ; Petropoulou, Athina ; Pappas, Vasileios ; Alexakis, Christos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001372.

    Full description at Econpapers || Download paper

  54. The structure and degree of dependence in government bond markets. (2021). Vulanovic, Milos ; Swinkels, Laurens ; Piljak, Vanja ; Dimic, Nebojsa.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001049.

    Full description at Econpapers || Download paper

  55. Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?. (2021). Li, Youwei ; Waterworth, James ; Vigne, Samuel A ; Pantelous, Athanasios A ; Hamill, Philip A.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000196.

    Full description at Econpapers || Download paper

  56. Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

    Full description at Econpapers || Download paper

  57. Connectedness structures of sovereign bond markets in Central and Eastern Europe. (2021). Karkowska, Renata ; Urjasz, Szczepan.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302866.

    Full description at Econpapers || Download paper

  58. Asymmetric volatility spillovers between crude oil and Chinas financial markets. (2021). Li, Shouwei ; Wang, HU.
    In: Energy.
    RePEc:eee:energy:v:233:y:2021:i:c:s036054422101416x.

    Full description at Econpapers || Download paper

  59. Heterogeneous structural breaks in panel data models. (2021). Okui, Ryo ; Wang, Wendun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:220:y:2021:i:2:p:447-473.

    Full description at Econpapers || Download paper

  60. Spillover across sovereign bond markets between the US and ASEAN4 economies. (2021). Nguyen, Huy Toan ; Yiu, Matthew S ; Tsang, Andrew.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000725.

    Full description at Econpapers || Download paper

  61. Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann.
    In: Working papers.
    RePEc:bfr:banfra:798.

    Full description at Econpapers || Download paper

  62. Sovereign bond and CDS market contagion: A story from the Eurozone crisis.. (2020). Politsidis, Panagiotis ; Panagiotidis, Theodore ; Bampinas, Georgios.
    In: MPRA Paper.
    RePEc:pra:mprapa:102846.

    Full description at Econpapers || Download paper

  63. Banks and Sovereigns: Did adversity bring them closer?. (2020). Sheenan, L ; Dongue, M ; Flavin, T.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n307-20.pdf.

    Full description at Econpapers || Download paper

  64. Beyond Connectedness: A Covariance Decomposition based Network Risk Model. (2020). AKOVALI, Umut.
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:2003.

    Full description at Econpapers || Download paper

  65. Interindustry volatility spillover effects in China’s stock market. (2020). Jin, Xue ; Liu, Zhe ; Yin, Kedong .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316632.

    Full description at Econpapers || Download paper

  66. Uncertainty in Euro area and the bond spreads. (2020). Siriopoulos, Costas ; Svingou, Argyro ; Tsagkanos, Athanasios ; Gkillas, Konstantinos.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315109.

    Full description at Econpapers || Download paper

  67. Crisis transmission: Visualizing vulnerability. (2020). Volkov, Vladimir ; Islam, Raisul ; Dungey, Mardi.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19302665.

    Full description at Econpapers || Download paper

  68. On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300455.

    Full description at Econpapers || Download paper

  69. Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572.

    Full description at Econpapers || Download paper

  70. Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective. (2020). Li, Jianping ; Yao, Yanzhen ; Wang, Jun ; Sun, Xiaolei.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304599.

    Full description at Econpapers || Download paper

  71. Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. (2020). Corbet, Shaen ; Gunay, Samet ; Goodell, John W.
    In: Energy Economics.
    RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303182.

    Full description at Econpapers || Download paper

  72. Volatility spillovers in Australian electricity markets. (2020). Trueck, Stefan ; Truck, Stefan ; Kordzakhia, Nino ; Han, Lin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301225.

    Full description at Econpapers || Download paper

  73. Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions. (2020). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:58:y:2020:i:c:p:96-120.

    Full description at Econpapers || Download paper

  74. Are Member States’ Budgetary Policies Adhering to the EU Fiscal Rules?. (2020). Cronin, David.
    In: Applied Economics Quarterly (formerly: Konjunkturpolitik).
    RePEc:dah:aeqaeq:v66_y2020_i1_q1_p_47-64.

    Full description at Econpapers || Download paper

  75. Are Member States’ Budgetary Policies Adhering to the EU Fiscal Rules?. (2020). Cronin, David.
    In: Applied Economics Quarterly (formerly: Konjunkturpolitik).
    RePEc:dah:aeqaeq:v66_y2020_i1_q1_p47-64.

    Full description at Econpapers || Download paper

  76. The Effectiveness of Chinas Monetary Policy: Based on the Mixed-Frequency Data. (2020). Pan, Shengjie ; Zhang, Hongyan ; Song, Yinqiu ; Wang, Deqing.
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2020:p:325-339.

    Full description at Econpapers || Download paper

  77. An analysis of network filtering methods to sovereign bond yields during COVID-19. (2020). Legara, Erika Fille ; Chhajer, Harsh ; Granados, Oscar ; Pang, Raymond Ka-Kay.
    In: Papers.
    RePEc:arx:papers:2009.13390.

    Full description at Econpapers || Download paper

  78. Time-varying contemporaneous spillovers during the European Debt Crisis. (2019). Tourani-Rad, Alireza ; Frijns, Bart ; Finta, Marinela Adriana.
    In: Empirical Economics.
    RePEc:spr:empeco:v:57:y:2019:i:2:d:10.1007_s00181-018-1480-1.

    Full description at Econpapers || Download paper

  79. Have Irish Sovereign Bonds Decoupled from the Euro Area Periphery, and Why?. (2019). McQuinn, Kieran ; Cronin, David ; Dunne, Peter.
    In: The Economic and Social Review.
    RePEc:eso:journl:v:50:y:2019:i:3:p:529-556.

    Full description at Econpapers || Download paper

  80. Comovement and disintegration of EU sovereign bond markets during the crisis. (2019). Vacha, Lukas ; Baxa, Jaromir ; Molik, Filip.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:64:y:2019:i:c:p:541-556.

    Full description at Econpapers || Download paper

  81. Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

    Full description at Econpapers || Download paper

  82. Euro area sovereign risk spillovers before and after the ECBs OMT announcement. (2019). Gilbert, Niels.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:636.

    Full description at Econpapers || Download paper

  83. Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area. (2018). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:50:y:2018:i:7:p:1401-1440.

    Full description at Econpapers || Download paper

  84. Fear connectedness among asset classes. (2018). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian.
    In: Applied Economics.
    RePEc:taf:applec:v:50:y:2018:i:39:p:4234-4249.

    Full description at Econpapers || Download paper

  85. Impact of the Credit Rating Revision on the Eurozone Stock Markets. (2018). Trabelsi, Mohamed Ali ; Hmida, Salma.
    In: MPRA Paper.
    RePEc:pra:mprapa:89152.

    Full description at Econpapers || Download paper

  86. Sovereign Bond Yields Spreads Spillovers in the EMU. (2018). Afonso, Antonio ; Kazemi, Mina.
    In: Working Papers REM.
    RePEc:ise:remwps:wp0522018.

    Full description at Econpapers || Download paper

  87. Intraday dynamics of credit risk contagion before and during the euro area sovereign debt crisis: Evidence from central Europe. (2018). Ters, Kristyna ; Urban, Jorg.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:54:y:2018:i:c:p:123-142.

    Full description at Econpapers || Download paper

  88. The intraday volatility spillover index approach and an application in the Brexit vote. (2018). Nishimura, Yusaku ; Sun, Bianxia.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:55:y:2018:i:c:p:241-253.

    Full description at Econpapers || Download paper

  89. Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

    Full description at Econpapers || Download paper

  90. Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181.

    Full description at Econpapers || Download paper

  91. Financial connectedness of BRICS and global sovereign bond markets. (2018). Ahmad, Wasim ; Daly, Kevin J ; Mishra, Anil V.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:37:y:2018:i:c:p:1-16.

    Full description at Econpapers || Download paper

  92. The transmission of US economic policy uncertainty shocks to Asian and global financial markets. (2018). Kido, Yosuke .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:46:y:2018:i:c:p:222-231.

    Full description at Econpapers || Download paper

  93. Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239.

    Full description at Econpapers || Download paper

  94. Heterogeneous structural breaks in panel data models. (2018). Okui, Ryo ; Wang, Wendun.
    In: Papers.
    RePEc:arx:papers:1801.04672.

    Full description at Econpapers || Download paper

  95. A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets. (2017). Trabelsi, Mohamed Ali ; Hmida, Salma.
    In: MPRA Paper.
    RePEc:pra:mprapa:83718.

    Full description at Econpapers || Download paper

  96. Interconnectedness and Contagion Effects in International Financial Instruments Markets. (2017). Kravchuk, Igor.
    In: Montenegrin Journal of Economics.
    RePEc:mje:mjejnl:v:13:y:2017:i:3:p:161-174.

    Full description at Econpapers || Download paper

  97. Interconnectedness and Contagion Effects in International Financial Instruments Markets. (2017). Kravchuk, Igor.
    In: Montenegrin Journal of Economics.
    RePEc:mje:mjejnl:v:12:y:2017:i:3:p:161-174.

    Full description at Econpapers || Download paper

  98. Fear connectedness among asset classes. (2017). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felixa, Julian.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201703.

    Full description at Econpapers || Download paper

  99. How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

    Full description at Econpapers || Download paper

  100. Sovereign default risk linkage: Implication for portfolio diversification. (2017). Hoque, Ariful ; Hassan, Kamrul ; Gasbarro, Dominic .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:41:y:2017:i:c:p:1-16.

    Full description at Econpapers || Download paper

  101. Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis. (2017). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:70:y:2017:i:c:p:26-44.

    Full description at Econpapers || Download paper

  102. Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

    Full description at Econpapers || Download paper

  103. Modelling European sovereign bond yields with international portfolio effects. (2017). Martin, Franck ; Zhang, Jiangxingyun .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:64:y:2017:i:c:p:178-200.

    Full description at Econpapers || Download paper

  104. Euro or not? Vulnerability of Czech and Slovak economies to regional and international turmoil. (2017). Kliber, Agata ; Puciennik, Piotr.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:60:y:2017:i:c:p:313-323.

    Full description at Econpapers || Download paper

  105. Spillovers among sovereign debt markets: identification by absolute magnitude restrictions. (2017). Zimic, Sreko ; De Santis, Roberto A.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20172055.

    Full description at Econpapers || Download paper

  106. Modeling the spillovers between stock market and money market in Nigeria. (2017). Salisu, Afees ; Isah, Kazeem.
    In: Working Papers.
    RePEc:cui:wpaper:0023.

    Full description at Econpapers || Download paper

  107. Relation between regional uncertainty spillovers in the global banking system. (2017). Aste, Tomaso ; Caccioli, Fabio ; Tungsong, Sachapon .
    In: Papers.
    RePEc:arx:papers:1702.05944.

    Full description at Econpapers || Download paper

  108. VOLATILITY OF YIELDS OF GOVERNMENT BONDS AMONG GIIPS COUNTRIES DURING THE SOVEREIGN DEBT CRISIS IN THE EURO AREA. (2016). Heryan, Tomas ; Ziegelbauer, Jan .
    In: Equilibrium. Quarterly Journal of Economics and Economic Policy.
    RePEc:pes:ierequ:v:11:y:2016:i:1:p:61-74.

    Full description at Econpapers || Download paper

  109. Are Banking Shocks Contagious? Evidence from the Eurozone. (2016). Flavin, Thomas ; Lagoa-Varela, Dolores .
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n268-16.pdf.

    Full description at Econpapers || Download paper

  110. Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly. (2016). Sheenan, Lisa ; Flavin, Thomas ; Cronin, David.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n267-16.pdf.

    Full description at Econpapers || Download paper

  111. Identifying and Measuring the Contagion Channels at Work in the European Financial Crises. (2016). Guidolin, Massimo ; Pedio, Manuela.
    In: Working Papers.
    RePEc:igi:igierp:586.

    Full description at Econpapers || Download paper

  112. Measuring Spillovers between the US and Emerging Markets. (2016). Wan, Angela Kin ; Ka Fai LiAuthor-Workplace-Name: Research Departmen, ; Tom Pak Wing FongAuthor-Workplace-Name: Research D, .
    In: Working Papers.
    RePEc:hkm:wpaper:082016.

    Full description at Econpapers || Download paper

  113. Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility. (2016). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Fernandez-Rodriguez, Fernando ; Gomez-Puig, Marta.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:43:y:2016:i:c:p:126-145.

    Full description at Econpapers || Download paper

  114. Equity market contagion during global financial and Eurozone crises: Evidence from a dynamic correlation analysis. (2016). Mollah, Sabur ; Zafirov, Goran .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:41:y:2016:i:c:p:151-167.

    Full description at Econpapers || Download paper

  115. Linkages in the term structure of interest rates across sovereign bond markets. (2016). Bhaduri, Saumitra ; Sowmya, Subramaniam ; Prasanna, Krishna.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:27:y:2016:i:c:p:118-139.

    Full description at Econpapers || Download paper

  116. Islamic financial markets and global crises: Contagion or decoupling?. (2016). Naifar, Nader ; Kenourgios, Dimitris ; Dimitriou, Dimitrios.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:36-46.

    Full description at Econpapers || Download paper

  117. Domestic and Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area. (2016). Beetsma, Roel ; Hanson, Jesper ; Giuliodori, Massimo ; de Jong, Frank.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11122.

    Full description at Econpapers || Download paper

  118. Intraday Dynamics of Euro Area Sovereign Credit Risk Contagion. (2016). Komarek, Lubos ; Ters, Kristyna ; Urban, Jorg.
    In: Working Papers.
    RePEc:cnb:wpaper:2016/04.

    Full description at Econpapers || Download paper

  119. Financial Cycles and Macroprudential and Monetary Policies. (2016). Hlaváček, Michal ; Babecký, Jan ; Plasil, Miroslav ; Frait, Jan ; Malovana, Simona ; Kejak, Michal ; Mateju, Jakub ; Audzei, Volha ; Hlavac, Petr ; Seidler, Jakub .
    In: Occasional Publications - Edited Volumes.
    RePEc:cnb:ocpubv:rb14/2.

    Full description at Econpapers || Download paper

  120. Topics in Labour Markets. (2016). Babecký, Jan ; Zigraiova, Diana ; Lizal, Lubomir ; Galuscak, Kamil ; Babecky, Jan ; Vasicek, Osvald ; Tvrz, Stanislav ; Stanislav Tvrz, ; Tonner, Jaromir ; Polansky, Jiri ; Bruha, Jan.
    In: Occasional Publications - Edited Volumes.
    RePEc:cnb:ocpubv:rb14/1.

    Full description at Econpapers || Download paper

  121. Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly. (2016). Sheenan, Lisa ; Flavin, Thomas ; Cronin, David.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:03/rt/16.

    Full description at Econpapers || Download paper

  122. Intraday dynamics of euro area sovereign credit risk contagion. (2016). Komarek, Lubos ; Ters, Kristyna.
    In: BIS Working Papers.
    RePEc:bis:biswps:573.

    Full description at Econpapers || Download paper

  123. Volatility spillovers in EMU sovereign bond markets. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: Working Papers del Instituto Complutense de Estudios Internacionales.
    RePEc:ucm:wpaper:1504.

    Full description at Econpapers || Download paper

  124. The Impossible Trinity and Financial Markets – An Examination of Inflation Volatility Spillovers. (2015). Bosupeng, Mpho.
    In: MPRA Paper.
    RePEc:pra:mprapa:77923.

    Full description at Econpapers || Download paper

  125. “Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Fernandez-Rodriguez, Fernando ; Gomez-Puig, Marta.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201510.

    Full description at Econpapers || Download paper

  126. “Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis”. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Fernandez-Rodriguez, Fernando ; Gomez-Puig, Marta.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201508.

    Full description at Econpapers || Download paper

  127. International Dependence and Contagion across Asset Classes: The Case of Poland. (2015). Adam, Michal ; Markun, Michal ; Banbula, Piotr .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:65:y:2015:i:3:p:254-270.

    Full description at Econpapers || Download paper

  128. Volatility spillovers in EMU sovereign bond markets. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:337-352.

    Full description at Econpapers || Download paper

  129. Transmission channels of systemic risk and contagion in the European financial network. (2015). Paltalidis, Nikos ; Koutelidakis, Yiannis ; Kizys, Renatas ; Gounopoulos, Dimitrios.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s1:p:s36-s52.

    Full description at Econpapers || Download paper

  130. Detecting contagion in a multivariate time series system: An application to sovereign bond markets in Europe. (2015). Candelon, Bertrand ; Manner, Hans ; Blatt, Dominik .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:59:y:2015:i:c:p:1-13.

    Full description at Econpapers || Download paper

  131. Euro Area Government Bonds: Integration and Fragmentation during the Sovereign Debt Crisis. (2015). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1479.

    Full description at Econpapers || Download paper

  132. Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis. (2015). Fratzscher, Marcel ; Ehrmann, Michael.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10583.

    Full description at Econpapers || Download paper

  133. Monetary Policy Challenges in a Low-Inflation Environment. (2015). Babecký, Jan ; Vasicek, Borek ; Solmaz, Serhat ; Plasil, Miroslav ; Mateju, Jakub ; Filacek, Jan ; Claeys, Peter ; Bruha, Jan ; Baxa, Jaromir ; Kucharcukova, Oxana Babecka ; Andrle, Michal.
    In: Occasional Publications - Edited Volumes.
    RePEc:cnb:ocpubv:rb13/2.

    Full description at Econpapers || Download paper

  134. Forecasting. (2015). Galuscak, Kamil ; Babecký, Jan ; Rusnak, Marek ; Polansky, Jiri ; Kopriva, Frantisek ; Humplova, Zuzana ; Holub, Tomas ; Hledik, Tibor ; Havrlant, David ; Franta, Michal ; Bruha, Jan ; Brazdik, Frantisek ; Tonner, Jaromir.
    In: Occasional Publications - Edited Volumes.
    RePEc:cnb:ocpubv:rb13/1.

    Full description at Econpapers || Download paper

  135. Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis. (2015). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-13.

    Full description at Econpapers || Download paper

  136. Volatility spillovers in EMU sovereign bond markets. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: Working Papers.
    RePEc:aee:wpaper:1503.

    Full description at Econpapers || Download paper

  137. Financial stress transmission in EMU sovereign bond market volatility: A connectedness analysis. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Fernandez-Rodriguez, Fernando.
    In: Working Papers.
    RePEc:aee:wpaper:1502.

    Full description at Econpapers || Download paper

  138. Macroprudential Research: Selected Issues. (2014). Konecny, Tomas ; Derviz, Alexis ; Kucharcukova, Oxana Babecka ; Kadlcakova, Narcisa ; Hlavacek, Michal ; Joy, Mark ; Rusnak, Marek ; Komarek, Lubos ; Smidkova, Katerina ; Lesanovska, Jitka ; Komarkova, Zlatuse ; Kubicova, Ivana ; Hausenblas, Vaclav ; Vasicek, Borek.
    In: Occasional Publications - Edited Volumes.
    RePEc:cnb:ocpubv:rb12/2.

    Full description at Econpapers || Download paper

  139. A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets. (0000). Trabelsi, Mohamed Ali ; Hmida, Salma.
    In: MPRA Paper.
    RePEc:pra:mprapa:115852.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Acharya, V., I. Drechsler and P. Schnabl (2011): “A Pyrrhic Victory? – Bank Bailouts and Sovereign Credit Risk.” NBER Working Paper No. 17136.

  2. Aizenman, J., M. Hutchinson and Y. Jinjarak (2013): “What is the Risk of European Sovereign Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk.” Journal of International Money and Finance, 34-C, 37–59.
    Paper not yet in RePEc: Add citation now
  3. Ang, A. and F.A. Longstaff (2011): “Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe.” NBER Working Paper No. 16982.
    Paper not yet in RePEc: Add citation now
  4. Attinasi, M., C. Checherita and C. Nickel (2010): “What Explains the Surge in Euro Area Sovereign Spreads during the Financial Crisis of 2007–09?” Public Finance and Management, 10(4), 595–645.
    Paper not yet in RePEc: Add citation now

  5. Bai, J., R. Lusmdaine and J. Stock (1998): “Testing for and Dating Common Breaks in Multivariate Time Series.” Review of Economic Studies, 65, 395–432.

  6. Bernanke, B., J. Boivin and P. Eliasz, (2005): "Measuring the Effects of Monetary Policy: A FAVAR Approach.” Quarterly Journal of Economics, 120, 387–422.
    Paper not yet in RePEc: Add citation now

  7. Bernoth, K., J. von Hagen and L. Schuknecht (2012): “Sovereign Risk Premiums in the European Government Bond Market.” Journal of International Money and Finance, 31(5), 975–995.

  8. BIS (2011): Quarterly Review: December issue.
    Paper not yet in RePEc: Add citation now

  9. Broto, C., and G. Perez-Quiros (2011): “Sovereign CDS Premia during the Crisis and their Interpretation as a Measure of Risk.” Banco de España Economic Bulletin, April.

  10. Caceres, C., V. Guzzo and M. Segoviano (2010): “Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals?” IMF Working Paper No. 120.

  11. Caporin M., L. Pelizzon, F. Ravazzolo and R. Rigobon (2013): “Measuring Sovereign Contagion in Europe.” NBER working paper 18741.

  12. Claeys, P., R. Moreno and J. Suriñach (2012): “Fiscal Policy, Interest Rates and Integration of Financial Markets.” Economic Modelling, 29(1), 49–58.

  13. De Bandt, O. and P. Hartmann (2000): Systemic Risk: A Survey. ECB Working Paper No. 35.

  14. De Grauwe, P., and Y. Ji (2012): “Mispricing of Sovereign Risk and Multiple Equilibria in the Eurozone.” Journal of International Money and Finance, forthcoming.
    Paper not yet in RePEc: Add citation now

  15. De Santis, R. (2012): The Euro Area Sovereign Debt Crisis. Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal. ECB Working Paper No. 1419.

  16. Diebold, F., and K. Yilmaz (2009): “Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets.” Economic Journal, 119(534), 158–171.

  17. Diebold, F., and K. Yilmaz (2012): “Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers.” International Journal of Forecasting, 28(1), 57–66.

  18. Dungey, M., Fry R., B. Gonzalez-Hermosillo and V. Martin (2005): “Empirical modelling of contagion: a review of methodologies." Quantitative Finance, 5(1), 9–24.

  19. ECB (2009): Financial Stability Review.
    Paper not yet in RePEc: Add citation now
  20. ECB (2012): Financial Integration in Europe.
    Paper not yet in RePEc: Add citation now

  21. Ehrmann, M., Ch. Osbat, J. Strasky and L. Uuskula (2013): The Euro Exchange Rate during the European Sovereign Debt Crisis: Dancing to Its Own Tune. ECB Working Paper No. 1532.

  22. Eichengreen, B. (2010): “The euro: love it or leave it?.” VoxEU.org, 4 May.
    Paper not yet in RePEc: Add citation now

  23. Favero, C. (2012): Modelling and Forecasting Yield Differentials in the Euro Area. A Non-linear Global VAR Model. IGIER Working Paper Series No. 431.

  24. Favero, C. A., and A. Missale (2012): “Sovereign Spreads in the Eurozone: Which Prospects for a Eurobond?” Economic Policy 27(40), 231–273.

  25. Favero, C. A., and F. Giavazzi (2002): “Is the International Propagation of Financial Shocks Non Linear? Evidence from the ERM.” Journal of International Economics, 57(1), 231–246.

  26. Favero, C., M. Pagano and E.-L. von Thadden (2010): How Does Liquidity Affect Government Bond Yields? Journal of Financial and Quantitative Analysis 45, 107–134.

  27. Forbes, K. (2012): “The ‘Big C’: Identifying Contagion.” NBER Working Paper No. 18465.

  28. Forbes, K. J., and R. Rigobon (2002): “No Contagion, Only Interdependence: Measuring Stock Market Comovements.” Journal of Finance, 57(5), 2223–2261.

  29. Hartmann, M., S. Manganelli, and C. Monnet (2009): “Capital markets and financial integration in Europe.” In: Balling, M., et al. (eds.), Competition and Profitability in European Financial Services. Taylor and Francis, London.
    Paper not yet in RePEc: Add citation now

  30. Hatchondo, J. and L. Martinez (2009): “Long-Duration Bonds and Sovereign Defaults” Journal of International Economics, 79(1), 117–125.

  31. Kaminsky, G., and C. Reinhart (2000): “On Crises, Contagion and Confusion.” Journal of International Economics, 51, 145–168.

  32. Koop, G., M. H. Pesaran and S. M. Potter (1996): “Impulse Response Analysis in Non-Linear Multivariate Models.” Journal of Econometrics, 74, 119–147.

  33. Lizarazo, S., (2013): “Default Risk and Risk Averse International Investors.” Journal of International Economics, 89(2), 317–-330.

  34. Longstaff, F.A., J. Pan, L.H. Pedersen and K.J. Singleton (2011): How Sovereign is Sovereign Credit Risk? American Economic Journal: Macroeconomics, 3, 75–103.

  35. Metiu N. (2012): “Sovereign contagion risk in the eurozone.” Economics Letters, 117, 35–38.

  36. Mink, M., and J. De Haan (2013): “Contagion during the Greek Sovereign Debt Crisis.” Journal of International Money and Finance, 34, 102–113.

  37. Pesaran H., and M. Pick (2007): “Econometric issues in the analysis of contagion.” Journal of Economic Dynamics and Control, 31, 1245–1277.

  38. Pesaran, M. H., and Y. Shin (1998): “Generalized Impulse Response Analysis in Linear Multivariate Models.” Economics Letters, 58, 17–29.

  39. Poghosyan, T. (2012): “Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies” IMF Working Paper No. 271.
    Paper not yet in RePEc: Add citation now

  40. Qu, Z. and P. Perron (2007): “Estimating and Testing Structural Changes in Multivariate Regressions.” Econometrica, 75, 459–502.

  41. Schuknecht, L., J. von Hagen and G. Wolswijk (2009): “Government Bond Risk Premiums in the EU: EMU and Canada.” European Journal of Political Economy, 25(3), 371–384.

  42. Slingenberg, J.W. and J. de Haan (2011): “Predicting Financial Stress.” DNB Working Paper No. 292.
    Paper not yet in RePEc: Add citation now

  43. Wing Fong, T. and A. Wong (2012): “Gauging potential sovereign risk contagion in Europe.” Economics Letters, 115, 496–499.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Sovereign yield spreads in the EMU: crisis and structural determinants. (2017). Leal, Frederico ; Afonso, Antonio.
    In: Working Papers Department of Economics.
    RePEc:ise:isegwp:wp092017.

    Full description at Econpapers || Download paper

  2. Essays on banking sector’s dynamics, expectations, preferences and impact. (2016). .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:d064f029-f91e-47bc-b6d3-0ffef7e3b761.

    Full description at Econpapers || Download paper

  3. Sovereign Risk Premia and the International Balance Sheet: Lessons from the European Crisis. (2016). Bianchi, Benedetta.
    In: Open Economies Review.
    RePEc:kap:openec:v:27:y:2016:i:3:d:10.1007_s11079-015-9382-8.

    Full description at Econpapers || Download paper

  4. Greek Sovereign Debt Crisis: Causes, Fiscal Adjustment Programs and Lessons for Croatia. (2016). Brkic, Mislav.
    In: Croatian Economic Survey.
    RePEc:iez:survey:ces-v18_1-2016_brkic.

    Full description at Econpapers || Download paper

  5. The great moderation in international capital flows: a global phenomenon?. (2016). Schmitz, Martin ; McQuade, Peter.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161952.

    Full description at Econpapers || Download paper

  6. How Do Political Factors Shape the Bank Risk-Sovereign Risk Nexus in Emerging Markets?. (2015). Eichler, Stefan.
    In: Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:112877.

    Full description at Econpapers || Download paper

  7. Sovereign Risk, Private Credit, and Stabilization Policies. (2015). Pancrazi, Roberto ; Vukotic, Marija ; Seoane, Hernan D.
    In: The Warwick Economics Research Paper Series (TWERPS).
    RePEc:wrk:warwec:1069.

    Full description at Econpapers || Download paper

  8. Change Detection and the Casual Impact of the Yield Curve. (2015). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, .
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2015_05.

    Full description at Econpapers || Download paper

  9. The relation between sovereign credit default swap premium and banking sector risk in Poland. (2015). Wojtowicz, Marcin ; Gatarek, Ukasz .
    In: NBP Working Papers.
    RePEc:nbp:nbpmis:222.

    Full description at Econpapers || Download paper

  10. Systemic Sovereign Risk and Asset Prices: Evidence from the CDS Market, Stressed European Economies and Nonlinear Causality Tests. (2015). Apergis, Nicholas ; Ajmi, Ahdi Noomen.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:65:y:2015:i:2:p:127-143.

    Full description at Econpapers || Download paper

  11. Intertwined sovereign and bank solvencies in a simple model of self-fulfilling crisis. (2015). Lizarazo, Sandra ; Adler, Gustavo.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:428-448.

    Full description at Econpapers || Download paper

  12. Transmission of sovereign risk in the Euro crisis. (2015). Sauré, Philip ; Brutti, Filippo ; Saure, Philip.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:97:y:2015:i:2:p:231-248.

    Full description at Econpapers || Download paper

  13. On the time-varying relationship between EMU sovereign spreads and their determinants. (2015). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio ; Bagdatoglou, George .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:44:y:2015:i:c:p:363-371.

    Full description at Econpapers || Download paper

  14. The determinants of sovereign bond yield spreads in the EMU. (2015). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151781.

    Full description at Econpapers || Download paper

  15. BAD BANK AND OTHER POSSIBLE BANKS’ RESCUING MODELS – THE CASE OF SLOVENIA. (2015). TOMEC, MATEJ ; Markovic-Hribernik, Tanja .
    In: Annals - Economy Series.
    RePEc:cbu:jrnlec:y:2015:v:1i:p:128-141.

    Full description at Econpapers || Download paper

  16. Sovereign debt exposure and the bank lending channel: impact on credit supply and the real economy. (2015). Mezzanotti, Filippo ; Lenzu, Simone ; Bottero, Margherita .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1032_15.

    Full description at Econpapers || Download paper

  17. Sovereign Risk, Private Credit, and Stabilization Policies. (2015). Pancrazi, Roberto ; Vukotic, Marija ; Seoane, Hernan D.
    In: Economic Research Papers.
    RePEc:ags:uwarer:270214.

    Full description at Econpapers || Download paper

  18. Lessons from the European financial crisis. (2014). Pagano, Marco.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:486.

    Full description at Econpapers || Download paper

  19. CROSS‐BORDER BANKING, EXTERNALITIES AND SOVEREIGN DISTRESS: DOES THE EURO NEED A COMMON BANKING AUTHORITY?. (2014). Erce, Aitor.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:19:y:2014:i:3:p:188-203.

    Full description at Econpapers || Download paper

  20. Banking and Sovereign Debt Crises in Monetary Union Without Central Bank Intervention.. (2014). Dufourt, Frédéric ; Dai, Meixing ; CHENG, Jin.
    In: Working Papers of BETA.
    RePEc:ulp:sbbeta:2014-05.

    Full description at Econpapers || Download paper

  21. Nonlinearities in sovereign risk pricing the role of cds index contracts. (2014). Portes, Richard ; Fouquau, Julien ; Delatte, Anne-Laure.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/6b3bdv9unt9mspi3ri2ff917d6.

    Full description at Econpapers || Download paper

  22. The Euro and The Geography of International Debt Flows. (2014). Obstfeld, Maurice ; Hale, Galina.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20033.

    Full description at Econpapers || Download paper

  23. An Event Study Analysis of ECB Unconventional Monetary Policy. (2014). .
    In: Departmental Working Papers.
    RePEc:mil:wpdepa:2014-02.

    Full description at Econpapers || Download paper

  24. The risk of self-protection: the role of bank bailout guarantees in channelling sovereign credit risk internationally. (2014). Gori, Filippo.
    In: IHEID Working Papers.
    RePEc:gii:giihei:heidwp16-2014.

    Full description at Econpapers || Download paper

  25. The Euro and the Geography of International Debt Flows. (2014). Obstfeld, Maurice ; Hale, Galina.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2014-10.

    Full description at Econpapers || Download paper

  26. The sovereign-bank rating channel and rating agencies downgrades during the European debt crisis. (2014). ap Gwilym, Owain ; Alsakka, Rasha ; Vu, Tuyet Nhung .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:49:y:2014:i:pb:p:235-257.

    Full description at Econpapers || Download paper

  27. Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe. (2014). Vašíček, Bořek ; Claeys, Peter ; Vaiek, Boek .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:46:y:2014:i:c:p:151-165.

    Full description at Econpapers || Download paper

  28. Sovereign and bank CDS spreads: Two sides of the same coin?. (2014). cotter, john ; Avino, Davide.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:72-85.

    Full description at Econpapers || Download paper

  29. Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps. (2014). Vašíček, Bořek ; Vaiek, Boek ; Miao, RongHui ; Calice, Giovanni ; trba, Filip .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141717.

    Full description at Econpapers || Download paper

  30. Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe. (2014). Vašíček, Bořek ; Claeys, Peter ; Vaiek, Boek .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141666.

    Full description at Econpapers || Download paper

  31. Systemic risk and bank business models. (2014). Zhou, Chen ; van Oordt, Maarten.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:442.

    Full description at Econpapers || Download paper

  32. The Euro and the Geography of International Debt Flows. (2014). Obstfeld, Maurice ; Hale, Galina.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9937.

    Full description at Econpapers || Download paper

  33. Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts. (2014). Portes, Richard ; Fouquau, Julien ; Delatte, Anne-Laure.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9898.

    Full description at Econpapers || Download paper

  34. A case for redistribution? Income inequality and wealth concentration in the recent crisis. (2014). Stockhammer, Engelbert ; Onaran, Ozlem ; Goda, Thomas.
    In: DOCUMENTOS DE TRABAJO CIEF.
    RePEc:col:000122:012186.

    Full description at Econpapers || Download paper

  35. Assessing contagion risks from the CDS market. (2013). Peltonen, Tuomas ; Gabrieli, Silvia ; CLERC, Laurent ; Brunnermeier, Markus ; Kern, Steffen ; el Omari, Yanis .
    In: ESRB Occasional Paper Series.
    RePEc:srk:srkops:201304.

    Full description at Econpapers || Download paper

  36. The Euro and the Geography of International Debt Flows. (2013). Hale, Galina ; Obstfeld, Maurice.
    In: NBER Chapters.
    RePEc:nbr:nberch:13313.

    Full description at Econpapers || Download paper

  37. The “forward premium puzzle” and the sovereign default risk. (2013). Mignon, Valérie ; Coudert, Virginie.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:32:y:2013:i:c:p:491-511.

    Full description at Econpapers || Download paper

  38. On the time-varying relationship between EMU sovereign spreads and their determinants. (2013). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio ; Bagdatoglou, George .
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:474.

    Full description at Econpapers || Download paper

  39. Information Management in Banking Crises. (2013). Skeie, David ; Shapiro, Joel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9612.

    Full description at Econpapers || Download paper

  40. Public debt and financial crises in the twentieth century. (2012). Schularick, Moritz.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:20121.

    Full description at Econpapers || Download paper

  41. When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads. (2012). Wei, Shang-Jin ; Bai, Jennie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18600.

    Full description at Econpapers || Download paper

  42. When is there a strong transfer risk from the sovereigns to the corporates? Property rights gaps and CDS spreads. (2012). Wei, Shang-Jin.
    In: Staff Reports.
    RePEc:fip:fednsr:579.

    Full description at Econpapers || Download paper

  43. The “Big C”: identifying and mitigating contagion. (2012). Forbes, Kristin.
    In: Proceedings - Economic Policy Symposium - Jackson Hole.
    RePEc:fip:fedkpr:y:2012:p:23-87.

    Full description at Econpapers || Download paper

  44. Sovereign credit risk, banks government support, and bank stock returns around the world. (2012). Suarez, Gustavo ; Sapriza, Horacio ; Correa, Ricardo ; Lee, Kuan-Hui .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1069.

    Full description at Econpapers || Download paper

  45. The determinants of sovereign bond yield spreads in the EMU. (2012). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:387.

    Full description at Econpapers || Download paper

  46. When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads. (2012). Wei, Shang-Jin ; Bai, Jennie.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9252.

    Full description at Econpapers || Download paper

  47. Robust Capital Regulation. (2012). Thakor, Anjan ; Schuermann, Til ; Mehran, Hamid ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8792.

    Full description at Econpapers || Download paper

  48. The Euros Three Crises. (2012). .
    In: Brookings Papers on Economic Activity.
    RePEc:bin:bpeajo:v:44:y:2012:i:2012-01:p:157-231.

    Full description at Econpapers || Download paper

  49. Hazardous tango: sovereign-bank interdependence and financial stability in the euro area.. (2012). Pisani-Ferry, Jean ; Merler, Silvia.
    In: Financial Stability Review.
    RePEc:bfr:fisrev:2011:16:19.

    Full description at Econpapers || Download paper

  50. Sovereign creditworthiness and financial stability:an international perspective.. (2012). Avdjiev, Stefan ; Caruana, J..
    In: Financial Stability Review.
    RePEc:bfr:fisrev:2011:16:07.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-02 13:03:17 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.