Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis

By Michael Ehrmann, Marcel Fratzscher. 2017

113 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ea3f5becb7d6e5eef3288413633b1bab4f7b3b94

Citations in the corpus

• Non-Performing Loans in the Euro Area: Are Core-Periphery Banking Markets Fragmented? (2016, unknown): “Ehrmann and Fratzscher (2017) found that while euro-area government bond markets were well integrated before the crisis, they saw a substantial fragmentation after 2010 due to flight to quality. Mayordomo et al. (2015) measured fragmentation in the euro-area interbank market and found that high frag”
• The shifting dependence dynamics between the G7 stock markets (2018, unknown): “…2012, aiming to prevent any speculative attack in government bond markets of the Euro area and to fragment the spillover, i.e. eliminate shocks transmission across markets (Ehrmann and Fratzscher 2017), has limited the crisis spillover to G7 members, leading to a low contagion since late 2012.”