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The present work is aimed at fabricating bi-layer aluminum nitride (AlN)/cobalt iron (CoFe) magnetoelectric (ME) thin films using reactive rf/dc magnetron sputtering. A systematic study on structural, morphological, piezoelectric, magnetic and magnetoelectric properties is undertaken. Except for AlN and CoFe, no other phases were detected with the layer thicknesses measured at 160 and 130 nm, respectively. The rms roughness measured was around 2.096 nm for AlN and 1.806 nm for CoFe. The bi-layer thin film exhibited both good piezoelectricity and ferromagnetism, as well as ME effect. A 52% change observed in the piezoelectric signal, measured using magnetic field assisted piezoresponse force microscopy, can be ascribed to the existence of a stress-mediated magnetoelectric coupling between AlN and CoFe.