Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly

David Cronin, Thomas Flavin and Lisa Sheenan
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David Cronin: Central Bank of Ireland

No 03/RT/16, Research Technical Papers from Central Bank of Ireland

Abstract: We analyse the stability of linkages across Eurozone bond markets during the sovereign debt crisis. We distinguish between contagion and interdependencies as mechanisms for spreading the turmoil across bond markets. Using a three-regime Markov switching VAR, we identify two distinct phases of the crisis - the bad and the ugly - and find differences in shock transmission between them. Overall, evidence of contagion is scant and interdependence is the more common determinant of market comovements.

Keywords: Eurozone sovereign debt crisis; contagion; Markov-switching VAR (search for similar items in EconPapers)
JEL-codes: G01 G15 (search for similar items in EconPapers)
Date: 2016-05
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (23)

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Related works:
Journal Article: 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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