TY  - UNPD
A1  - Caporin, Massimiliano
A1  - Pelizzon, Loriana
A1  - Ravazzolo, Francesco
A1  - Rigobon, Roberto
T1  - Measuring sovereign contagion in Europe
T2  - SAFE working paper series ; No. 103
N2  - 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.
T3  - SAFE working paper - 103 
KW  - Sovereign Risk
KW  - Contagion
KW  - Disintegration
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/37448
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-374482
UR  - http://ssrn.com/abstract=2606508
IS  - April 2015
PB  - SAFE
CY  - Frankfurt am Main
ER  -