Economic crisis contagion in the eurozone: Results from cross-quantilogram and network approach

We investigate economic crisis contagion across 20 Eurozone countries using cross-quantilogram and network analysis. The results highlight the asymmetric nature of economic contagion in the Eurozone. On the one hand, there is strong evidence of contagion during economic crises; on the other hand, no evidence supports contagion during periods of economic expansion. Furthermore, we identify a three-tier stratification of countries based on economic contagion. Ireland and Malta lay outside the Eurozone contagion network. At the core are Germany, The Netherlands, Austria, Luxembourg, Italy, and Spain, characterized by a high degree of reciprocal contagion. The remaining countries form the periphery, primarily influenced by contagion from the core. Lastly, we find that contagion operates predominantly through trade, with only weak evidence supporting the role of financial integration. • Examination of economic crisis contagion across Eurozone countries. • Application of cross-quantilogram and network analysis to map contagion patterns. • Evidence of crisis contagion but no evidence of contagion during economic booms. • Identification of three tiers of economic contagion in the Eurozone: core, periphery, and outside the network. • Economic contagion primarily operates through trade.