This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Acemoglu, D., Ozdaglar, A., & Tahbaz-Salehi, A. (2015) “Systemic risk and stability in financial networks”, American Economic Review, vol. 105, no. 2: 564-608Search in Google Scholar
Afonso, A., Arghyrou, M., & Kontonikas, A. (2012) “The Determinants of Sovereign Bond Yield Spreads in the EMU”, Working Papers 2012_14. Business School – Economics, University of GlasgowSearch in Google Scholar
Angeloni, C., & Wolff, G. (2012) “Are banks affected by their holdings of government debt?”, Bruegel Working Paper 07Search in Google Scholar
Arezki, R., Candelon, B., & Sy, A. (2011) “Sovereign rating news and financial markets spillovers: evidence from the European debt crisis”, IMF Working Paper 68Search in Google Scholar
Bae, K.H. (2012) “ Determinants of local currency bonds and foreign holdings: Implications for bond market development”, People’s Republic of China ADB working paper series on regional economic integrationSearch in Google Scholar
Beetsma, R., Giuliodori, M., de Jong, F., & Widijanto, D. (2013) “Spread the news: the impact of news on the European sovereign bond markets during the crisis”, Journal of International Money and Finance, vol. 34, 83-101Search in Google Scholar
Bhanot, K., Burns, N., Hunter, D., & Williams M. (2014) “News spillovers from the Greek debt crisis: impact on the Eurozone financial sector”, Journal of Banking & Finance, vol. 38, 51-63Search in Google Scholar
Brown, C., & Dinc, I. (2011) “ Too many to fail? Evidence of regulatory forbearance when the banking sector is weak”, Review of Financial Studies, vol. 24, no. 4: 1378-1405Search in Google Scholar
Caporin, M., Pelizzon, L., Ravazzolo, F. & Rigobon, R. (2018) “ Measuring sovereign contagion in Europe”, Journal of Financial Stability, vol. 34, 150-181Search in Google Scholar
Cappiello, L., Engle, R. F., & Sheppard, K. (2006) “Asymmetric dynamics in the correlations of global equity and bond returns”, Journal of Financial Econometrics, vol. 4, no. 4: 537-572Search in Google Scholar
Christiansen, C., (2014) “Integration of European bond markets”, Journal of Banking and Finance, vol. 42, no. 1: 191-198Search in Google Scholar
Davidson, S. N., (2020) “Interdependence or contagion: A model switching approach with a focus on Latin America”, Economic Modelling, vol 85 (May 2019), 166-197Search in Google Scholar
De Bruyckere, V., Gerhardt, M., Schepens, G., Vennet, R. V. (2013)” Bank/sovereign risk spillovers in the European debt crisis”, Journal of Banking & Finance, vol. 37, no. 12: 4793-4809Search in Google Scholar
Favero, C. A. (2013) “Modelling and forecasting government bond spreads in the euro area: A GVAR model”, Journal of Econometrics, vol. 177, no. 2: 343-356Search in Google Scholar
Fernández-Rodríguez F., Gómez-Puig, M., & Sosvilla-Rivero, S. (2015) “ Volatility spillovers in EMU sovereign bond markets”, International Review of Economics and Finance, vol. 39, 337-352Search in Google Scholar
Frijns, B., & Zwinkels, R. C. J. (2020) “Absence of speculation in the European sovereign debt markets”, Journal of Economic Behavior and Organization, vol.169, 245-265Search in Google Scholar
Gabrisch, H. & Orlowski, L. (2009) “Interest Rate Convergence in the Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields”, WCOB Working Papers. Paper 2Search in Google Scholar
Gómez-Puig, M., Sosvilla-Rivero, S., & Ramos-Herrera, M.d.C. (2014) “An update on EMU sovereign yield spread drivers in times of crisis: a panel data analysis”, The North American Journal of Economics and Finance, vol. 30, 133-153Search in Google Scholar
Gomez-Puig, M., & Sosvilla-Rivero, S. (2014) “Causality and contagion in EMU sovereign debt markets”, International Review of Economics and Finance, vol. 33, 12-27Search in Google Scholar
Haugh, D., Ollivaud, P., & Turner, D. (2009) “What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area”, OECD Economics Department Working Paper, No. 718, ParisSearch in Google Scholar
Karkowska, R. & Urjasz, S. (2021) “Connectedness structures of sovereign bond markets in Central and Eastern Europe”, International Review of Financial Analysis, vol. 74Search in Google Scholar
Martin, F., & Zhang, J. (2017) “Modelling European sovereign bond yields with international portfolio effects”, Economic Modelling, vol. 64 (December 2016), 178-200Search in Google Scholar
Reboredo, J. C., & Ugolini, A. (2015) “Systemic risk in European sovereign debt markets: A CoVaR-copula approach”, Journal of International Money and Finance vol. 51, 214-244Search in Google Scholar
Silvapulle P., Fenech, J.P., Thomas, A., Brooks, R. (2016) “Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries”, Economic Modelling, vol. 58, 83-92Search in Google Scholar
Sutton, D. G. (2000) “ Is there excess comovement of bond yields between countries?”, Journal of International Money and Finance, vol. 19, no. 3: 363-376Search in Google Scholar
Yang, L., & Hamori, S. (2015) “Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis”, The North American Journal of Economics and Finance, vol. 32 (April 2015), 124-138.Search in Google Scholar