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Financial Contagion and the European Debt Crisis

Citations

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Cited by:

  1. Iván Kataryniuk & Víctor Mora-Bajén & Javier J. Pérez, 2021. "EMU deepening and sovereign debt spreads: using political space to achieve policy space," Working Papers 2103, Banco de España.
  2. Tola, Albi & Wälti, Sébastien, 2015. "Deciphering financial contagion in the euro area during the crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 108-123.
  3. D’Agostino, Antonello & Ehrmann, Michael, 2014. "The pricing of G7 sovereign bond spreads – The times, they are a-changin," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 155-176.
  4. Saker Sabkha & Christian De Peretti & Dorra Hmaied, 2017. "The Credit Default Swap market contagion during recent crises: International evidence," Working Papers hal-01572510, HAL.
  5. Giampaolo Gabbi & Alesia Kalbaska & Alessandro Vercelli, 2014. "Factors generating and transmitting the financial crisis: The role of incentives: securitization and contagion," Working papers wpaper56, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
  6. Ellul, Reuben, 2017. "Correlation between Maltese and euro area sovereign bond yields," MPRA Paper 80795, University Library of Munich, Germany.
  7. Baum, Christopher F. & Schäfer, Dorothea & Stephan, Andreas, 2016. "Credit rating agency downgrades and the Eurozone sovereign debt crises," Journal of Financial Stability, Elsevier, vol. 24(C), pages 117-131.
  8. Irfan Akbar Kazi & Suzanne Salloy, 2013. "Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis - From the perspective of the Credit Default Swaps’ G14 dealers," Working Papers hal-04141216, HAL.
  9. Graham Bird & Wenti Du & Thomas Willett, 2017. "Behavioral Finance and Efficient Markets: What does the Euro Crisis Tell us?," Open Economies Review, Springer, vol. 28(2), pages 273-295, April.
  10. Manuel Buchholz & Lena Tonzer, 2016. "Sovereign Credit Risk Co-Movements in the Eurozone: Simple Interdependence or Contagion?," International Finance, Wiley Blackwell, vol. 19(3), pages 246-268, December.
  11. Bampinas, Georgios & Panagiotidis, Theodore & Politsidis, Panagiotis N., 2023. "Sovereign bond and CDS market contagion: A story from the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 137(C).
  12. Ludwig, Alexander, 2014. "A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 125-146.
  13. Castagneto-Gissey, G. & Nivorozhkin, E., 2016. "No contagion from Russia toward global equity markets after the 2014 international sanctions," Economic Analysis and Policy, Elsevier, vol. 52(C), pages 79-98.
  14. Andreas Chouliaras & Theoharry Grammatikos, 2017. "Extreme Returns in the European financial crisis," European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
  15. Lubos Komarek & Kristyna Ters, 2016. "Intraday dynamics of euro area sovereign credit risk contagion," BIS Working Papers 573, Bank for International Settlements.
  16. Mohamed Ali Trabelsi & Salma Hmida, 2019. "Impact of the Credit Rating Revision on the Eurozone Stock Markets," Journal Transition Studies Review, Transition Academia Press, vol. 26(1), pages 3-14.
  17. Liu, Beibei & Wang, Feng & Yunze, Wu & Jun, Bi & Maoliang, Bu & Gao, Juan, 2012. "Life cycle implication of the potential commercialization of stover-based E85 in China," Energy Policy, Elsevier, vol. 43(C), pages 371-380.
  18. Graham Bird & Wenti Du & Eric Pentecost & Thomas Willett, 2017. "Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours," Applied Economics, Taylor & Francis Journals, vol. 49(59), pages 5895-5904, December.
  19. Chopra, Monika & Mehta, Chhavi, 2022. "Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis," Journal of Asian Economics, Elsevier, vol. 79(C).
  20. Mink, Mark & de Haan, Jakob, 2013. "Contagion during the Greek sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 102-113.
  21. Oluwatosin Mary Aderajo & Oladotun Daniel Olaniran, 2021. "Analysis of financial contagion in influential African stock markets," Future Business Journal, Springer, vol. 7(1), pages 1-9, December.
  22. Graham Bird & Wenti Du & Eric Pentecost & Thomas Willett, 2017. "Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15," The World Economy, Wiley Blackwell, vol. 40(12), pages 2530-2542, December.
  23. Chouliaras, Andreas & Grammatikos, Theoharry, 2013. "News Flow, Web Attention and Extreme Returns in the European Financial Crisis," MPRA Paper 51335, University Library of Munich, Germany.
  24. Thomas Conefrey & David Cronin, 2015. "Spillover in Euro Area Sovereign Bond Markets," The Economic and Social Review, Economic and Social Studies, vol. 46(2), pages 197-231.
  25. Silvapulle, Param & Fenech, Jean Pierre & Thomas, Alice & Brooks, Rob, 2016. "Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries," Economic Modelling, Elsevier, vol. 58(C), pages 83-92.
  26. Bernd Scherer, 2020. "Alternative risk premia: contagion and portfolio choice," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 178-191, May.
  27. Bhanot, Karan & Burns, Natasha & Hunter, Delroy & Williams, Michael, 2014. "News spillovers from the Greek debt crisis: Impact on the Eurozone financial sector," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 51-63.
  28. Dieter Smeets, 2016. "Financial Contagion During the European Sovereign Debt Crisis," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(2), pages 46-59, April.
  29. Paul J.J. Welfens, 2012. "Towards a Euro Fiscal Union: Reinforced Fiscal and Macroeconomic Coordination and Surveillance is Not Enough," EIIW Discussion paper disbei191, Universitätsbibliothek Wuppertal, University Library.
  30. Mink, Mark & de Haan, Jakob, 2013. "Contagion during the Greek sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 102-113.
  31. Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
  32. Konstantinos Gkillas & Paraskevi Katsiampa & Dimitrios I. Vortelinos & Mark E. Wohar, 2023. "Greek government‐debt crisis events and European financial markets: News surprises on Greek bond yields and inter‐relations of European financial markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4037-4054, October.
  33. J. W. Muteba Mwamba & Mathias Manguzvane, 2020. "Contagion risk in african sovereign debt markets: A spatial econometrics approach," International Finance, Wiley Blackwell, vol. 23(3), pages 506-536, December.
  34. Reboredo, Juan C. & Ugolini, Andrea, 2015. "A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 98-123.
  35. Ndiweni, Zinzile Lorna & Bonga-Bonga, Lumengo, 2022. "Contagion or decoupling? Evidence from emerging stock markets," MPRA Paper 115170, University Library of Munich, Germany.
  36. Oussama Kchaou & Makram Bellalah & Sofiane Tahi, 2022. "Transmission of the Greek crisis on the sovereign debt markets in the euro area," Annals of Operations Research, Springer, vol. 313(2), pages 1117-1139, June.
  37. Trabelsi, Mohamed Ali & Hmida, Salma, 2017. "A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets," MPRA Paper 83718, University Library of Munich, Germany, revised 2017.
  38. contact_cb@yahoo.com. & Simona STAMULE & Iulian Cornel LOLEA, 2021. "The Spillover Effect on the CEE Equity Markets and the Financial Contagion in the Context of Financial Integration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 155-170, December.
  39. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Dependence patterns among Banking Sectors in Asia: A Copula Approach," MPRA Paper 60119, University Library of Munich, Germany.
  40. Kohonen, Anssi, 2014. "Transmission of government default risk in the eurozone," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 71-85.
  41. repec:ecb:ecbops:2014165 is not listed on IDEAS
  42. Samarakoon, Lalith P., 2017. "Contagion of the eurozone debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 49(C), pages 115-128.
  43. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, vol. 25(3), pages 521-570, July.
  44. David Cronin, 2014. "Interaction in euro area sovereign bond markets during the financial crisis," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 49(4), pages 212-220, July.
  45. Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Energy Economics, Elsevier, vol. 66(C), pages 217-227.
  46. Paulo Horta, 2013. "Contagion Effects in the European Nyse Euronext Stock Markets in the Context of the 2010 Sovereign Debt Crisis," CEFAGE-UE Working Papers 2013_12, University of Evora, CEFAGE-UE (Portugal).
  47. Ahmad, Wasim & Sehgal, Sanjay & Bhanumurthy, N.R., 2013. "Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?," Economic Modelling, Elsevier, vol. 33(C), pages 209-225.
  48. Hatice Gaye Gencer & Sercan Demiralay, 2016. "The Contagion Effects on Real Economy: Emerging Markets during the Recent Crises," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 104-121, March.
  49. Wasim Ahmad & N.R. Bhanumurthy & Sanjay Sehgal, 2014. "The Eurozone crisis and its contagion effects on the European stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 31(3), pages 325-352, July.
  50. Reboredo, Juan C. & Ugolini, Andrea, 2015. "Systemic risk in European sovereign debt markets: A CoVaR-copula approach," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 214-244.
  51. Saker Sabkha & Christian Peretti & Dorra Hmaied, 2019. "The Credit Default Swap market contagion during recent crises: international evidence," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 1-46, July.
  52. Iordanis Kalaitzoglou & Beatrice Durgheu, 2016. "Financial growth and Economic Growth in Europe : Is the Euro Beneficial for All Countries?," Post-Print hal-00859252, HAL.
  53. Ludwig, Alexander, 2013. "Sovereign risk contagion in the Eurozone: a time-varying coefficient approach," MPRA Paper 52340, University Library of Munich, Germany.
  54. Mustapha Olalekan Ojo & Luís Aguiar-Conraria & Maria Joana Soares, 2019. "A Time-Frequency Analysis of Sovereign Debt Contagion in Europe," NIPE Working Papers 11/2019, NIPE - Universidade do Minho.
  55. Konstantinos Gkillas & Christoforos Konstantatos & Costas Siriopoulos, 2021. "Uncertainty Due to Infectious Diseases and Stock–Bond Correlation," Econometrics, MDPI, vol. 9(2), pages 1-18, April.
  56. Vítor Caldeirinha & J. Augusto Felício & Andreia Dionísio, 2013. "Effect of the container terminal characteristics on performance," CEFAGE-UE Working Papers 2013_13, University of Evora, CEFAGE-UE (Portugal).
  57. Blatt, Dominik & Candelon, Bertrand & Manner, Hans, 2015. "Detecting contagion in a multivariate time series system: An application to sovereign bond markets in Europe," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 1-13.
  58. Campos-Martins, Susana & Amado, Cristina, 2022. "Financial market linkages and the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 123(C).
  59. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.
  60. Paulo Horta & Sérgio Lagoa & Luís Martins, 2016. "Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 625-637, April.
  61. Pappas, Vasileios & Ingham, Hilary & Izzeldin, Marwan & Steele, Gerry, 2016. "Will the crisis “tear us apart”? Evidence from the EU," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 346-360.
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