| bibtype |
J -
Journal Article
|
| ARLID |
0510012 |
| utime |
20241106135749.9 |
| mtime |
20191027235959.9 |
| SCOPUS |
85072195173 |
| WOS |
000501613600031 |
| DOI |
10.1016/j.iref.2019.09.004 |
| title
(primary) (eng) |
Comovement and disintegration of EU sovereign bond markets during the crisis |
| specification |
| page_count |
15 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0362150 |
| ISSN |
1059-0560 |
| title
|
International Review of Economics & Finance |
| volume_id |
64 |
| volume |
1 (2019) |
| page_num |
541-556 |
| publisher |
|
|
| keyword |
European debt crisis |
| keyword |
Eurozone fragility hypothesis |
| keyword |
Comovement |
| keyword |
Contagion |
| keyword |
Wavelets |
| author
(primary) |
| ARLID |
cav_un_auth*0101217 |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Vácha |
| name2 |
Lukáš |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0381650 |
| share |
35 |
| name1 |
Šmolík |
| name2 |
F. |
| country |
CZ |
|
| author
|
| ARLID |
cav_un_auth*0231592 |
| full_dept |
Department of Econometrics |
| share |
15 |
| name1 |
Baxa |
| name2 |
Jaromír |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Econometrics |
| department (cz) |
E |
| department |
E |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0385135 |
| project_id |
GX19-28231X |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2020 |
| num_of_auth |
3 |
| mrcbC52 |
4 A sml 4as 20241106135749.9 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0301140 |
| cooperation |
| ARLID |
cav_un_auth*0346833 |
| name |
Fakulta sociálních věd Univerzity Karlovy |
| institution |
FSV UK |
| country |
CZ |
|
| confidential |
S |
| contract |
| name |
Rights & Access |
| date |
20190920 |
| note |
Copyright agreement |
|
| mrcbC86 |
3+4 Proceedings Paper Nanoscience Nanotechnology |
| mrcbC91 |
C |
| mrcbT16-e |
BUSINESSFINANCE|ECONOMICS |
| mrcbT16-j |
0.373 |
| mrcbT16-s |
0.813 |
| mrcbT16-B |
24.173 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q4 |
| arlyear |
2019 |
| mrcbTft |
\nSoubory v repozitáři: vacha_l-0510012-copyright.pdf |
| mrcbU14 |
85072195173 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000501613600031 WOS |
| mrcbU63 |
cav_un_epca*0362150 International Review of Economics & Finance 1059-0560 1873-8036 Roč. 64 č. 1 2019 541 556 Elsevier |
|