Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)

Acharya, V.V., Drechsler, I., Schnabl, P., 2011. A Pyrrhic victory? Bank bailouts and sovereign credit risk. Working Paper. Aizenman, J., Hutchison, M., Jinjarak, Y., 2011. What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk. NBER Working Paper Series, vol. 17407. Alter, A., Schuler, Y.S., 2011. Credit spread interdependencies of European states and banks during the financial crisis. Working Paper. Boyer, B.H., Gibson, M.S., Loretan, M., 1999. Pitfalls in tests for changes in correlations. International Finance Discussion Papers 597. Caporale, 2005, Testing for contagion: a conditional correlation analysis, Journal of Empirical Finance, 12, 476, 10.1016/j.jempfin.2004.02.005 Chiang, 2007, Dynamic correlation analysis of financial contagion: evidence from Asian market, Journal of International Money and Finance, 26, 1206, 10.1016/j.jimonfin.2007.06.005 Corsetti, 2005, Some contagion, some interdependence: more pitfalls in tests of financial contagion, Journal of International Money and Finance, 24, 1177, 10.1016/j.jimonfin.2005.08.012 Delatte, A.L., Gex, M., Lopez-Villavicencio, A., 2011. Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis? Working Paper. Dieckmann, 2011, Default risk of advanced economies: an empirical analysis of credit default swaps during the financial crisis, Review of Finance Dungey, M., Zhumabekova, D., 2001. Testing for contagion using correlations: some words of caution. Pacific Basin Working Paper Series 01-09. Ejsing, J.W., Lemke, W., 2009. The Janus-headed salvation: sovereign and bank credit risk premia during 2008–2009. ECB Working Paper 1127. Ferreira, 2005, Evaluating interest rate covariance models within a value at risk framework, Journal of Financial Econometrics, 3, 126, 10.1093/jjfinec/nbi005 Fontana, A., Scheicher, M., 2010. An analysis of Euro area sovereign CDS and their relation with government bonds. ECB Working Paper 1271. Forbes, 2002, No contagion, only interdependence: measuring stock market comovements, Journal of Finance, 57, 2223, 10.1111/0022-1082.00494 Galesi, A., Sgherri, S., 2009. Regional financial spillovers across Europe: a global VAR analysis. IMF Working Paper 23. Gex, 2010, Contagion inside the credit default swaps market: the case of the GM and Ford crisis in 2005, Journal of International Financial Markets, Institutions & Money, 20, 109, 10.1016/j.intfin.2010.01.001 Gray, 2009, Financial contagion among members of the EU-8: a cointegration and Granger causality approach, International Journal of Emerging Markets, 4, 299, 10.1108/17468800910991214 Hamilton, 1994 Kat, 2003, The dangers of using correlation to measure dependence, Journal of Alternative Investments, 6, 54, 10.3905/jai.2003.319091 Khalid, 2003, Was financial market contagion the source of economic crisis in Asia? Evidence using a multivariate VAR model, Journal of Asian Economics, 14, 131, 10.1016/S1049-0078(02)00243-9 Lapavitsas, C., Kaltenbrunner, A., Lindo, D., Michell, J., Painceira, J.P., Pires, E., Powell, J., Stenfors, A., Teles, N., 2010a. Eurozone crisis: beggar thyself and thy neighbour. RMF occasional report, March. Lapavitsas, C., Kaltenbrunner, A., Lambrinidis, G., Lindo, D., Meadway, J., Michell, J., Painceira, J.P., Pires, E., Powell, J., Stenfors, A., Teles, N., 2010b. The Eurozone between austerity and default. RMF occasional report, September. Longstaff, 2011, How sovereign is sovereign credit risk?, American Economic Journal: Macroeconomics, 3, 75, 10.1257/mac.3.2.75 Lopez, J.A., Walter, C.A., 2000. Evaluating covariance matrix forecasts in a value-at-risk framework. Technical report 2000–21. Federal Reserve Bank of San Francisco. Markose, S., Giansante, S., Gątkowski, M., Shaghaghi, A.R., 2010. Too interconnected to fail: financial contagion and systemic risk in network model of CDS and other credit enhancement obligations of US banks. University of Essex, Department of Economics, Discussion Paper Series 683, February. Morgan, 1996 Pan, 2008, Default and recovery implicit in the term structure of sovereign CDS spreads, Journal of Finance, 63, 2345, 10.1111/j.1540-6261.2008.01399.x Pesaran, 1998, Generalized impulse response analysis in linear multivariate model, Economic Letters, 58, 17, 10.1016/S0165-1765(97)00214-0 Sander, 2003, Contagion and causality: an empirical investigation of four Asian crisis episodes, Journal of International Financial Markets, Institutions & Money, 13, 171, 10.1016/S1042-4431(02)00043-4