2024
DOI: 10.1017/s1365100523000597
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The anatomy of government bond yields synchronization in the Eurozone

Claudio Barbieri,
Mattia Guerini,
Mauro Napoletano

Abstract: We investigate the synchronization of the Eurozone’s government bond yields at different maturities. For this purpose, we combine principal component analysis with random matrix theory. We find that synchronization depends on yield maturity. Short-term yields are not synchronized. Medium- and long-term yields, instead, were highly synchronized early after the introduction of the Euro. Synchronization then decreased significantly during the Great Recession and the European Debt Crisis, to partially recover afte… Show more

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