Comovement and disintegration of EU sovereign bond markets during the crisis

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/19:10397760

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Comovement and disintegration of EU sovereign bond markets during the crisis

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Comovement and disintegration of EU sovereign bond markets during the crisis

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

International Review of Economics & Finance

ISSN

1059-0560

e-ISSN

—

Svazek periodika

64

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

15

Strana od-do

541-556

Kód UT WoS článku

000501613600031

EID výsledku v databázi Scopus

2-s2.0-85072195173