Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/271236 
Year of Publication: 
2020
Series/Report no.: 
QMS Research Paper No. 2020/05
Publisher: 
Queen's University Belfast, Queen's Management School, Belfast
Abstract: 
We analyse the stability of the cross-market shock transmission mechanism between banks and sovereign bonds during the Eurozone sovereign debt crisis for crisis-hit periphery countries and Germany. We also examine the shock propagation of banking shocks and sovereign bond shocks between domestic and external markets. Using a Markov-switching framework, we find strong evidence of bilateral contagion between banks and sovereign bonds and also between domestic and external banking sectors. Sovereign bond markets are different. An external shock only produces contagious effects in Greece, who were largely dependent on external aid. For all the others, external shocks lead to decoupling as investors became increasingly discerning in their perception of the debt instruments issued by different Eurozone states
JEL: 
G01
G10
G21
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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