Contagion in Eurozone sovereign bond markets? The good, the bad and the ugly

David Cronin, Thomas Flavin and Lisa Sheenan

Economics Letters, 2016, vol. 143, issue C, 5-8

Abstract: 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.

Keywords: Eurozone sovereign bond crisis; Contagion; Interdependence (search for similar items in EconPapers)
JEL-codes: G01 G10 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (23)

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Related works:
Working Paper: Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly (2016)
Working Paper: Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:143:y:2016:i:c:p:5-8

DOI: 10.1016/j.econlet.2016.02.031

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