Cronin, David and Flavin, Thomas and Sheenan, Lisa (2016) Contagion in Eurozone sovereign bond markets? The good, the bad and the ugly. Economics Letters, 143. pp. 5-8. ISSN 0165-1765
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Official URL: https://doi.org/10.1016/j.econlet.2016.02.031
Abstract
We test for contagion between Eurozone bond markets during the sovereign debt crisis. Using a threeregime 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.
| Item Type: | Article |
|---|---|
| Keywords: | Eurozone sovereign bond crisisp; Contagion; Interdependence; |
| Academic Unit: | Faculty of Social Sciences > School of Business |
| Item ID: | 17217 |
| Identification Number: | https://doi.org/10.1016/j.econlet.2016.02.031 |
| Depositing User: | Thomas Flavin |
| Date Deposited: | 23 May 2023 11:35 |
| Journal or Publication Title: | Economics Letters |
| Publisher: | Elsevier |
| Refereed: | Yes |
| URI: | |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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