Abstract
In this article, we apply the cross-correlation function approach developed by Hong (2001) in order to investigate how the recent sovereign debt crisis has influenced interrelations between sovereign credit default swap (CDS) premiums for Japan and for Europe's major countries. We confirm the existence of a causal linkage between the mean of Japan and those of EU countries except Greece. In addition, this causal linkage has strengthened remarkably since the crisis. Further, we detect a causal linkage in terms of variance between Japan and certain EU countries including Greece.
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