Contagion in Eurozone Sovereign Bond Markets? The Good, the Bad and the Ugly
Thomas Flavin (),
David Cronin and
Economics, Finance and Accounting Department Working Paper Series from Department of Economics, Finance and Accounting, National University of Ireland - Maynooth
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)
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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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Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n267-16.pdf
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