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Measuring sovereign contagion in Europe

Massimiliano Caporin, Loriana Pelizzon (), Francesco Ravazzolo and Roberto Rigobon ()

No 2012/05, Working Paper from Norges Bank

Abstract: This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several econometric approaches (non linear regression, quantile regression and Bayesian quantile with heteroskedasticity) we show that propagation of shocks in Europe's CDS's has been remarkably constant even though in a signi cant part of the sample periphery countries have been extremely a ected by their sovereign debt and scal situations. Thus, the integration among the di erent countries is stable, and the risk spillover among countries is not a ected by the size of the shock.

Keywords: Sovereign Risk; Contagion (search for similar items in EconPapers)
JEL-codes: E58 F34 F36 G12 G15 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2012-04-10
New Economics Papers: this item is included in nep-cba, nep-eec, nep-ifn and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
https://www.norges-bank.no/en/news-events/news-pub ... pers/2012/WP-201205/

Related works:
Journal Article: Measuring sovereign contagion in Europe (2018) Downloads
Working Paper: Measuring sovereign contagion in Europe (2015) Downloads
Working Paper: Measuring Sovereign Contagion in Europe (2013) Downloads
Working Paper: Measuring Sovereign Contagion in Europe (2012) Downloads
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