Staff working papers

• A Wake-Up-Call Theory of Contagion

  Staff Working Paper 2015-14 Christoph Bertsch, Toni Ahnert

  We propose a novel theory of financial contagion. We study global coordination games of regime change in two regions with an initially uncertain correlation of regional fundamentals.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial stability, International financial markets JEL Code(s): D, D8, D82, F, F3, G, G0, G01

• Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

  Staff Working Paper 2015-13 Michael Ehrmann, Marcel Fratzscher

  The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates, International financial markets JEL Code(s): E, E5, F, F3, G, G1, G15