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Journal of Financial Stability, ISSN 1572-3089, 02/2018, Volume 34, pp. 150 - 181
•We use a Bayesian quantile regression with heteroskedasticity to measure contagion.•Almost no evidence of shift-contagion in euro's bond yield spreads.•The... 
Contagion | Disintegration | Sovereign risk | TESTS | BANK | UP-CALL CONTAGION | RISK | INFERENCE | INTERDEPENDENCE | CONDITIONAL QUANTILE ESTIMATION | INTERNATIONAL PROPAGATION | BUSINESS, FINANCE | TRANSMISSION | CONSTRAINTS | ECONOMICS
Journal Article
The World Economy, ISSN 0378-5920, 12/2017, Volume 40, Issue 12, pp. 2530 - 2542
Over the period between end‐2009 and end‐2015, Greece experienced two discernible financial crises. This paper undertakes a correlation analysis of risk premia... 
contagion | Eurozone crisis | correlations | UP-CALL CONTAGION | FINANCIAL CRISIS | BUSINESS, FINANCE | INTERNATIONAL RELATIONS | SOVEREIGN DEBT CRISIS | MARKET CONTAGION | ECONOMICS | PURE | BOND MARKETS | ECONOMY | Economic models | Markets | Risk | Economic crisis
Journal Article
Journal of Financial Stability, ISSN 1572-3089, 04/2017, Volume 29, pp. 72 - 91
•We conduct rolling window IV regression of EMU government bond spreads.•The spreads are treated as near-integrated variables.•We are able to monitor pure... 
Rolling window | C22 | Contagion | E43 | Bond spreads | C26 | G01 | G15 | Instrumental variables | Sovereign risk | UP-CALL CONTAGION | YIELD SPREADS | EURO | FINANCIAL CRISIS | OIL-PRICE SHOCK | BUSINESS, FINANCE | FLIGHT-TO-LIQUIDITY | ECONOMICS | GREAT CRASH | UNIT-ROOT TESTS | VOLATILITY | Subprime loans | Bonds | Analysis
Journal Article
Applied Economics, ISSN 0003-6846, 12/2017, Volume 49, Issue 59, pp. 5895 - 5904
While there have been many studies that examine contagion within the Euro-zone, this article investigates the potential contagion from changes in the Greek... 
contagion | sovereign risk premia | multivariate GARCH | C32 | F34 | G15 | Safe haven effects | MODELS | UP-CALL CONTAGION | MARKETS | SOVEREIGN DEBT CRISIS | ECONOMICS | PURE | FINANCIAL CRISIS | Municipal bonds | Political risk | Analysis | Risk premiums | Euro | Sovereign debt | Eurozone
Journal Article
Acta Oeconomica, ISSN 0001-6373, 06/2017, Volume 67, Issue 2, pp. 235 - 256
This paper analyses the pricing of sovereign risk and contagion during the crises in the Central and Eastern European countries. Panel data are used to... 
Government bond spreads | Sovereign credit rating | Contagion | Sovereign risk | Central and Eastern European countries | contagion | EUROPE | sovereign risk | sovereign credit rating | UP-CALL CONTAGION | MARKETS | SOVEREIGN DEBT CRISIS | RISK | ECONOMICS | PURE | government bond spreads
Journal Article
Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, 01/2020, Volume 537, p. 122643
We investigate potential mean and volatility spillovers among sovereign bond yield spreads for five peripheral countries of the euro area. We focus on Greece,... 
Bond spreads | European debt crisis | Asymmetric BEKK model | Volatility spillovers | PHYSICS, MULTIDISCIPLINARY | UP-CALL CONTAGION | MARKETS | SOVEREIGN DEBT | BOOTSTRAP | MODELS | SPILLOVER | INTERVALS | CRISES | PURE
Journal Article
Open Economies Review, ISSN 0923-7992, 4/2017, Volume 28, Issue 2, pp. 273 - 295
Journal Article
Journal of Economic Behavior and Organization, ISSN 0167-2681, 01/2019, Volume 157, pp. 382 - 402
Journal Article
Journal of Macroeconomics, ISSN 0164-0704, 09/2016, Volume 49, pp. 292 - 311
•A new database of EA sovereign debt stocks, at different maturities, in 1991–2013.•Debt dynamics decomposed into factors based on the theoretical budget... 
Inflation | Interest rate risk | Debt maturity | Debt dynamics | POLICY | UP-CALL CONTAGION | ECONOMICS | PURE | Public debts | Analysis | Inflation (Finance) | Medium term notes | Spain | Interest rates
Journal Article
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