Comparing the US and European Contagion Experiences
In this chapter, we extend our work to European data, addressing two key questions. First, we investigate whether contagion channels similar to the ones observed in the US subprime crisis were also active during the European sovereign crisis. Second, we assess whether, in addition to cross-market contagion, there is evidence of cross-country contagion from US to Europe during the 2007–09 financial crisis, that is, whether shocks to low-grade ABS did spill over to European fixed income and equity markets, and through which channels.
Keywordscontagion channels European financial markets sovereign crisis
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