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

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 143
Issue: C
Pages: 5-8

Authors (3)

Cronin, David (Central Bank of Ireland) Flavin, Thomas J. (Maynooth University) Sheenan, Lisa (University College Dublin)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:143:y:2016:i:c:p:5-8
Journal Field
General
Author Count
3
Added to Database
2026-01-25