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.
- Eurozone sovereign bond crisis
Cronin, D., Flavin, T., & Sheenan, L. (2016). Contagion in Eurozone sovereign bond markets? The good, the bad and the ugly. Economics Letters, 143, 5-8. . https://doi.org/10.1016/j.econlet.2016.02.031