This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms … propagation of shocks in euro's bond yield spreads shows almost no presence of shift-contagion. All the increases in correlation …

This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive … analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to …