This paper analyzes sovereign risk contagion across financial markets in the eurozone during and after the European debt crisis. A particular focus is made on the causal impact of pre-Brexit and Covid-19 pandemic on the dependence between European markets. We use data set from 28 February 2008 to 11 March 2021 and combine copulas and MRS-ARMA techniques to measure dependence across financial markets and assessing asymmetric dependence structure and regime switching process. We develop a dynamic Kendall’s tau correlation and provide evidence of time-varying dependence structure between several pairwise markets. The dependence structure shows a sharp rise on 23 June 2016, day of the referendum on Brexit. Results indicates that Covid-19 pandemic has intensified dependence and sovereign risk spillovers between sovereign CDS European markets. Significant time-varying characteristics of dynamic dependence structures suggests that fund managers and investors should consider in their investment strategies to manage systemic risk and high-risk investment. The identification of dependence structure regime between global financial markets would enhance response to major crises by investors and policy makers.

本文分析了欧债危机期间和之后欧元区金融市场的主权风险传染。特别关注英国脱欧前和 Covid-19 大流行对欧洲市场之间依赖的因果影响。我们使用 2008 年 2 月 28 日至 2021 年 3 月 11 日的数据集，并结合 copulas 和 MRS-ARMA 技术来衡量金融市场的依赖性，并评估非对称依赖性结构和政权转换过程。我们开发了动态 Kendall tau 相关性，并提供了几个成对市场之间随时间变化的依赖结构的证据。依赖结构在 2016 年 6 月 23 日英国脱欧公投当天急剧上升。结果表明，Covid-19 大流行加剧了欧洲主权 CDS 市场之间的依赖性和主权风险溢出。动态依赖结构的显着时变特征表明，基金经理和投资者在其投资策略中应考虑管理系统性风险和高风险投资。确定全球金融市场之间的依赖结构机制将加强投资者和政策制定者对重大危机的反应。