Sovereign risk contagion in the Eurozone

Norbert Metiu

Economics Letters, 2012, vol. 117, issue 1, 35-38

Abstract: This paper extends the canonical model of contagion proposed by Pesaran and Pick [Pesaran, M.H., Pick, A., 2007. Econometric issues in the analysis of contagion. Journal of Economic Dynamics and Control 31, 1245–1277] in order to test for contagion of credit events in Euro area sovereign bond markets. We find evidence for significant contagion effects among long-term bond yield premia between 1, January 2008 and 1, February 2012.

Keywords: Contagion; Credit event; Sovereign risk; Value-at-Risk (search for similar items in EconPapers)
JEL-codes: C32 G01 G15 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (91)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:1:p:35-38

DOI: 10.1016/j.econlet.2012.04.074

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