Contagion and the European debt crisis

By Vítor Constâncio, Philipp Hartmann, F. Betz, Paola Donati, C. Detken, Benjamin Sahel, Gianni Amisano, O. Tristani, Tobias Linzert, R. Santis. 2012

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Bank/Sovereign Risk Spillovers in the European Debt Crisis (2012, background): “The rst important question is: How to identify contagion? Constancio (2012) lists four criteria that have been used in the literature to dene contagion, namely: "(i) the transmission is in excess of what can be explained by economic fundamentals; (ii) the transmission is di¤erent from regular adju”
The Concept of Systemic Risk (2014, background): “But there is no agreement about which ones of these four criteria are necessary or sufficient to characterize a contagion event (Constâncio, 2012).”
The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis (2013, background): “While there is a number of ways in which contagion can be defined in the literature (see Constâncio (2012) for further details), the concept essentially relates to an excess spillover, one which goes beyond what can be explained by economic fundamentals (e.”
The “Big C”: identifying and mitigating contagion (2012, background): “10 Examples of this approach are: Favero and Giavazzi (2002), and Constancio (2012).”
The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2014, unknown): “Constâncio (2012) extends the definition of contagion in two directions: the existence of an initial trigger-event and the abnormal speed, strength or scope that accompanies financial instability.”