The Euro Area Sovereign Debt Crisis: Can Contagion Spread from the Periphery to the Core?

Data and codes:

"The Euro Area Sovereign Debt Crisis: Can Contagion Spread from the Periphery to the Core?" by Denis Gorea and Deyan Radev

The Stata codes that generate the regression results are stored in the archive 'stata_for_website.zip' (below, including the final dataset). Most of the initial data used in regressions is proprietary (IMF, BIS). Hence, we cannot republish it. However, we attach our final dataset that includes only variables on the country-pair level and has no identifying information on each of the countries in a particular pair. For details regarding the ways these variables were constructed, please see the appropriate section in our paper.

The Matlab codes generating the Joint Probability of Default (JPoD) and the figures in our paper are also available below. Since CDS data series are not publicly available, we can't post our original data here. Please refer to the paper for a detailed description of sources for the CDS and bond yield data.

Also, please check a simple Python code computing the JPoD for some random parameters.

Please email the authors if you spot any errors.