We analyse the stability of the cross-market shock transmission mechanism between banks and sovereign bonds during the Eurozone sovereign debt crisis for crisis-hit periphery countries and Germany. We also examine the shock propagation of banking shocks and sovereign bond shocks between domestic and external markets. Using a Markov-switching framework, we find strong evidence of bilateral contagion between banks and sovereign bonds and also between domestic and external banking sectors. Sovereign bond markets are different. An external shock only produces contagious effects in Greece, who were largely dependent on external aid. For all the others, external shocks lead to decoupling as investors became increasingly discerning in their perception of the debt instruments issued by different Eurozone states.

我们分析了受危机重创的外围国家和德国，在欧元区主权债务危机期间，银行与主权债券之间的跨市场冲击传递机制的稳定性。我们还研究了国内外市场之间银行业冲击和主权债券冲击的冲击传播。使用马尔可夫转换框架，我们发现银行与主权债券之间以及国内外银行部门之间双边传染的有力证据。主权债券市场有所不同。外部冲击只会在希腊产生传染性影响，而希腊在很大程度上依赖外部援助。对于其他所有方面，外部冲击导致脱钩，因为投资者对欧元区不同国家发行的债务工具的认识日益明朗。