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Measuring sovereign contagion in Europe

Listed author(s):
  • Massimiliano Caporin

    ()

    (Univerista' di Padova)

  • Loriana Pelizzon

    ()

    (Univerista' Ca' Foscari Venezia and MIT Sloan)

  • Francesco Ravazzolo

    ()

    (Norges Bank (Central Bank of Norway) and BI Norwegian Business School)

  • Roberto Rigobon

    ()

    (MIT Sloan and NBER)

This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several econometric approaches (non linear regression, quantile regression and Bayesian quantile with heteroskedasticity) we show that propagation of shocks in Europe's CDS's has been remarkably constant even though in a signi cant part of the sample periphery countries have been extremely a ected by their sovereign debt and scal situations. Thus, the integration among the di erent countries is stable, and the risk spillover among countries is not a ected by the size of the shock.

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File URL: http://www.norges-bank.no/en/Published/Papers/Working-Papers/2012/WP-201205/
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Paper provided by Norges Bank in its series Working Paper with number 2012/05.

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Length: 44 pages
Date of creation: 10 Apr 2012
Handle: RePEc:bno:worpap:2012_05
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