Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper extends the canonical model of contagion proposed by Pesaran and Pick [Pesaran, M.H., Pick, A., 2007. Econometric issues in the analysis of contagion. Journal of Economic Dynamics and Control 31, 1245–1277] in order to test for contagion of credit events in Euro area sovereign bond markets. We find evidence for significant contagion effects among long-term bond yield premia between 1, January 2008 and 1, February 2012.