0510012 20241106135749.920191027235959.9 85072195173 000501613600031 10.1016/j.iref.2019.09.004 15 s. P cav_un_epca*03621501059-0560641 (2019)541-556Elsevier European debt crisis Eurozone fragility hypothesis Comovement Contagion Wavelets cav_un_auth*0101217 Department of Econometrics 50 Vácha Lukáš UTIA-B Ekonometrie Econometrics E E K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0381650 35 Šmolík F. CZ cav_un_auth*0231592 Department of Econometrics 15 Baxa Jaromír UTIA-B Ekonometrie Econometrics E E CZ Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2019/E/vacha_l-0510012.pdf https://www.sciencedirect.com/science/article/pii/S1059056018306518 cav_un_auth*0385135 GX19-28231X GA ČR CZ 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. WOS AH 50000 50200 50202 2020 3 4 A sml 4as 20241106135749.9 RVO:67985556 http://hdl.handle.net/11104/0301140 cav_un_auth*0346833 Fakulta sociálních věd Univerzity Karlovy FSV UK CZ S Rights & Access 20190920 Copyright agreement 3+4 Proceedings Paper Nanoscience Nanotechnology C ECONOMICS|BUSINESS.FINANCE 2.119 0.659 4.5 0.00382 0.373 2728 87 0.813 48.6 1.97 1181 Q1 1.447 170 Q2 24.173 61.5 Q4 Q4 0.99 Q2 66.622 2019 Soubory v repozitáři: vacha_l-0510012-copyright.pdf 85072195173 SCOPUS PUBMED 000501613600031 WOS cav_un_epca*0362150 International Review of Economics & Finance 1059-0560 1873-8036 Roč. 64 č. 1 2019 541 556 Elsevier