Barbieri, Claudio; Guerini, Mattia; Napoletano, Mauro - 2021
We investigate the synchronization of 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 upon yields maturity … introduction of the Euro. Synchronization then decreased significantly during the Great Recession and the European Debt Crisis, to …