Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009-15

Over the period between end-2009 and end-2015 Greece experienced two discernible financial crises. This article undertakes a correlation analysis of risk premia to investigate the nature and extent of contagion from these crises to other selected Euro-zone countries. A commonly expressed view is that the effects of the second crisis were more muted since the systemic risks were seen by markets as being lower. However, using a rolling correlation model, a DCC-GARCH model and a t-copula model we find that this is not the case. Broadly speaking, the contagion effects of the second crisis were at least as large as those associated with the first one.