Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/110960
Authors: 
Smolik, Filip
Vacha, Lukas
Year of Publication: 
2015
Series/Report no.: 
FinMaP-Working Paper 44
Abstract: 
We study co-movement of 10-year sovereign bond yields of 11 EU countries. Our analysis is focused mainly on changes of co-movement in the crisis period, especially near two significant dates - the fall of Lehman Brothers, September 15, 2008, and the announcement of increase of Greek's public deficit in October 20, 2009. We study co-movement dynamics using wavelet analysis, it allows us to observe how co-movement changes across scales, which can be interpreted as investment horizons, and through time. We divide the countries into three groups; the Core of the Eurozone, the Periphery of the Eurozone and the states outside the Eurozone. Results indicate that co-movement considerably decreased in the crisis period for all countries pairs, however there are significant differences among the groups. Furthermore, we demonstrate that co-movement of bond yields significantly varies across scales.
Subjects: 
financial crisis
co-movement
wavelet
sovereign debt crisis
sovereign bonds
JEL: 
C32
C49
C58
H63
Document Type: 
Working Paper
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