Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours

While there have been many studies that examine contagion within the Euro-zone, this paper investigates the potential contagion from changes in the Greek sovereign risk premium over 2009-2016, as measured by the yield on 10 year government bonds, to six European countries outside of the Euro-zone all of which operated a managed float against the Euro. We find evidence of contagion to potential Euro-zone ascendants (Czech Republic, Hungary and Poland), but ‘flight to safety’ (or safe haven) effects for the United Kingdom, Sweden and Switzerland.