Modelling Sovereign Risk Transmission in Europe

This page tracks the contours of the spillover density over time. You can choose from two options using the dropdown menu:

Empirical Distribution plots the mean, median, interquartile range and 5-95% interval based on the spillover histogram

Estimated Spillover Density plots the mean, median, interquartile range and 5-95% interval based on the estimated spillover density

Changes in the shape of the spillover density are easily seen, especially the emergence of a long right tail in early-2007 and again in mid-2012