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

David Cronin, Thomas Flavin, Lisa Sheenan

Research output: Contribution to journalArticle

9 Citations (Scopus)

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.
Original languageEnglish
Article number143
Pages (from-to)5-8
Number of pages4
JournalEconomics Letters
Volume143
Early online date03 Mar 2016
DOIs
Publication statusPublished - 01 Jun 2016

Keywords

  • Eurozone sovereign bond crisis
  • Contagion
  • Interdependence

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