NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Measuring Sovereign Contagion in Europe

Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon

NBER Working Paper No. 18741
Issued in January 2013

---- Acknowledgements -----

We thank Alessandro Fontana, David Lando, Marco Lippi, Andrew Lo, Steve Schaefer and seminar and conference participants at CREDIT 2012, Goethe University, Einaudi Institute for Economics and Finance, MAF 2012, MIT workshop of the Research Consortium for Systemic Risk, Norges Bank, Sixth CEPS Finance high-level roundtable on macro prudential policy in the EU, University of Geneva, Workshop on Sovereign Risk, Fiscal Solvency and Monetary Policy: Where Do We Stand?, for helpful comments. The views expressed in this paper are our own and do not necessarily reflect those of Norges Bank. The views expressed here in are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

---- Disclosure of Financial Relationships for Roberto Rigobon -----

The author has an ownership stake in PriceStats LLC, a private company that uses scraped online data to compute inflation indices."

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