Measuring Contagious Effects on Euro Area Debt Crisis Using Daily CDS Spreads Changes

摘要

This paper complements several recent studies on the contagion in the euro area after the historic tensions on the debt market. We consider the popular approach of dynamic conditional correlation (DCC) as introduced by Engle (2002) for sovereign CDS spreads associated with selected euro area countries. Additionally, we extend prior results by explaining to what extent the contagion is generated by market and macroeconomic indicators.