6  Forbes and Rigobon, “No contagion, only Interdependence: Measuring stock market comovements”, Journal of Finance, 2002, capture this through increased correlations during times of stress. 7  See, for example, Longin and Solnik, “Extreme correlation of international equity markets”, Journal of Finance, 2001, or Hartmann, Straetmans and de Vries, “Asset market linkages in crisis periods”, Review of Economics and Statistics, 2004.
2  BIS central bankers’ speeches  Evidence of Contagion from the ongoing government debt crisis Let me now turn to the evidence from the ongoing debt crisis. I will start by reviewing evidence of contagion across euro area government debt markets.