Measuring bilateral spillover and testing contagion on sovereign bond markets in Europe

•We measure strength and direction of bilateral spillover across EU bond markets.•There is substantial spillover between EMU countries, especially since the financial crisis.•We provide a novel test for contagion by applying the multivariate structural break test.•Contagion is not a widespread pheno...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of banking & finance 2014-09, Vol.46, p.151-165
Hauptverfasser: Claeys, Peter, Vašíček, Bořek
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!