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CORE Brown Bag Seminar - Angelo Luisi, LIDAM/LFIN
By Fabrizio Ciotti

Angelo Luisi


will give a presentation on

Fragmentation in the European Monetary Union:Is it really over?


This paper analyses the fragmentation risk in the European Monetary Union, investigating the shock transmission mechanisms in the sovereign bond market. To achieve this goal, it builds a new methodology for modelling interactions, reconciling Factor and Global Vector Autoregressive models. This framework helps to disentangle interdependence from contagion and flight-to-quality effects, therefore assessing more precisely the degree of fragmentation. It turns out that fragmentation risk was already present and sizeable in the pre-European sovereign debt crisis period, but has been sharply mitigated after. The COVID crisis has put it back at the forefront of the scene and questions the European integration process.


To join the seminar, please follow the following instructions:

  1. If you are a member of the CORE Brown Bag team on Microsoft Teams, an invitation to the scheduled meeting has been sent.
  2. If you are not a member of the CORE BrownBag team on Microsoft Teams, please click here ( or write us an email.
  3. The interface of Teams is very similar to Skype. When the presenter starts the videoconference, you will see in the team page the button "join". Just press it and you will be inside the video conference.  
  4. By the start of the seminar, you should mute your microphone. This should be done to avoid echoing noise problems. Whenever you want to intervene, please raise your hand or write in the chat that you want to do so. The presenter will stop, you can unmute yourself and intervene.