This paper empirically investigates the structural changes in the 1st and the 2nd moments of the weekly CDS spread movements of 14 EU economies in the progress of the Global Financial Crisis (GFC) and the Eurozone Debt Crisis (EDC). We especially focus on how differently have the CDS spreads of EMU core, EMU periphery, and Non-EMU economies reacted to the crises by employing GARCH-copula models. We nearly don’t find structural changes in the conditional means after controlling for the common determinants of the sovereign CDS spreads, autocorrelations, and heteroscedasticities. In terms of conditional volatility, we find evidence of diffenrt rections to the two ctises by investors. The three groups exhibit similar structural increases in the volatilities after the GFC whereas the EMU periphery group shows significantly larger increment than the others after the EDC period. This implies investors no longer treat the EU sovereigns as a group of homogeneous economiews and have anxiety about the GIIPS. As a result of the dependence analysis using time-varying copulas, we find (EMU core, EMU core) and (Non-EMU, Non-EMU) pairs generally experience structural increase in both the Gaussian and the tail dependences during the two crisis periods. However, (EMU periphery, EMU periphery) overall exhibits no or structural decrease in dependence during both the GFC and the EDC period. Lastly, the asymmetry in dependence is skewed to the lower tail for the GFC period whereas not for the EDC period, in general.​

Keywords: EU member states; Global Financial Crisis; Eurozone Debt Crisis; Copula.