Afonso, AntónioFelix, Ana Catarina Ramos2014-02-182014-02-182014-02Afonso, António, Ana Catarina Ramos Félix. 2014. "Contagion in EU sovereign yield spreads". Instituto Superior de Economia e Gestão. ISEG/DE working papers. Nº 4/2014/DE/UECE2183-1815http://hdl.handle.net/10400.5/6520Since the beginning of the sovereign debt crisis in the Euro Area, a main concern for European leaders is the prevention of the possible contagion from distressed countries. In our research, we assess if there is a spillover effect from those countries and which determinants can be considered transmission mechanisms of the sovereign debt crisis. We use a panel of 13 EU countries (Austria, Belgium, Denmark, Finland, France, Greece, Ireland, Italy, The Netherlands, Portugal, Spain, Sweden and the United Kingdom), covering the period Q1:2000 to Q1:2013 and we also analyse each country individually, on the basis of a SUR analysis. We find that those countries with worse macro and fiscal fundamentals are more vulnerable to contagion and are more affected by international liquidity and credit risks.engSovereign yield spreadsSpillover effectsContagionworking paper