Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/110415
Authors: 
Caporin, Massimiliano
Pelizzon, Loriana
Ravazzolo, Francesco
Rigobon, Roberto
Year of Publication: 
2015
Series/Report no.: 
SAFE Working Paper Series 103
Abstract: 
This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on quantile regressions (standard quantile regression and Bayesian quantile regression with heteroskedasticity) we find that the propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation we have witnessed over the last years come from larger shocks propagated with higher intensity across Europe.
Subjects: 
Sovereign Risk
Contagion
Disintegration
JEL: 
E58
F34
F36
G12
G15
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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