Comovement and disintegration of EU sovereign bond markets during the crisis
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F19%3A00510012" target="_blank" >RIV/67985556:_____/19:00510012 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/19:10397760
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1059056018306518" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1059056018306518</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.iref.2019.09.004" target="_blank" >10.1016/j.iref.2019.09.004</a>
Alternative languages
Result language
angličtina
Original language name
Comovement and disintegration of EU sovereign bond markets during the crisis
Original language description
In this paper, we show that the comovement of bond yields in the EU before and during the European sovereign debt crisis is frequency-dependent. Using frequency cohesion and wavelet coherence, we demonstrate that the comovement is concentrated mainly at low frequencies. The comovement decreased in the eurozone during the crisis but remained high among countries with national currencies. Within the eurozone, we document a complex heterogeneity in the comovement that spans well beyond the traditional division between the core and the periphery. Overall, our results provide more credibility to the eurozone fragility hypothesis rather than to those who consider the fundamental factors to be the main driving force of the crisis.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Review of Economics & Finance
ISSN
1059-0560
e-ISSN
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Volume of the periodical
64
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
15
Pages from-to
541-556
UT code for WoS article
000501613600031
EID of the result in the Scopus database
2-s2.0-85072195173