THE ANATOMY OF GOVERNMENT BOND YIELDS SYNCHRONIZATION IN THE EUROZONE

The thickness of the links in the networks is proportional to the magnitude of correlations. [...] The thickness of the links is proportional to the magnitude of the correlations. [...] The bar plots in Figure 6 and Figure 7 show the evolution of the elements of the eigenvector associated to the largest eigenvalue of 5-year and 10-year yields respectively between 2008 and 2014. [...] This is highlighted by the loss in the share of the variance explained by the largest principal component and by the emergence of a second signicant component during the period corresponding to the above two crises, i.e. [...] Synchronization gained momentum after the announce- ment, as the variance explained by the rst component (and measured by the value of the dominant eigenvalue) rapidly increased, while the importance of the second principal component diminished.