Measuring sovereign contagion in Europe

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

No 103, SAFE Working Paper Series from Leibniz Institute for Financial Research SAFE

Abstract: This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on quantile regressions (standard quantile regression and Bayesian quantile regression with heteroskedasticity) we find that the propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation we have witnessed over the last years come from larger shocks propagated with higher intensity across Europe.

Keywords: Sovereign Risk; Contagion; Disintegration (search for similar items in EconPapers)
JEL-codes: E58 F34 F36 G12 G15 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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https://www.econstor.eu/bitstream/10419/110415/1/826308147.pdf (application/pdf)

Related works:
Journal Article: Measuring sovereign contagion in Europe (2018)
Working Paper: Measuring Sovereign Contagion in Europe (2013)
Working Paper: Measuring sovereign contagion in Europe (2012)
Working Paper: Measuring Sovereign Contagion in Europe (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:safewp:103

DOI: 10.2139/ssrn.2606508

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