EconPapers    
Economics at your fingertips  
 

Regime switching in bond yield and spread dynamics

Jean-Paul Renne

in Economics Thesis from University Paris Dauphine from Paris Dauphine University

Abstract: This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area sovereign yield curves over the period 1999-2012 (Chapter 3). In this model, a crisis regime is key to account for the increase in spread volatility during the financial crisis. Also, this study shows that market liquidity is an important determinant of bond prices. The model is then completed in order to explore potential causality relationships between two kinds of stresses: liquidity- and credit-related stresses (Chapter 4). Finally, the influence of monetary policy on the yield curve is investigated by means of a term structure model where an innovative use of regime-switching techniques makes it possible to capture salient features of the dynamics of monetary-policy rates (chapter 5).

Keywords: Changements de régime; Structure par terme des taux d’intérêt; Écarts de taux d’intérêt; Risque de crédit; Risque de liquidité; Politique monétaire; Processus composé auto-régressif; Regime switching; Term structure of interest rates; Yield spreads; Credit risk; Liquidity risk; Monetary policy; Compound auto-regressive process (search for similar items in EconPapers)
JEL-codes: G24 G12 E47 E44 E43 (search for similar items in EconPapers)
Date: 2013 Written 2013
Note: dissertation
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://basepub.dauphine.fr/xmlui/bitstream/123456789/13651/2/2013PA090038.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://basepub.dauphine.fr/xmlui/bitstream/123456789/13651/2/2013PA090038.pdf [302 Found]--> https://basepub.dauphine.fr/xmlui/bitstream/123456789/13651/2/2013PA090038.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dau:thesis:123456789/13651

Ordering information: This item can be ordered from
http://basepub.dauph ... ndle/123456789/13651

Access Statistics for this book

More books in Economics Thesis from University Paris Dauphine from Paris Dauphine University Contact information at EDIRC.
Bibliographic data for series maintained by Alexandre Faure ().

 
Page updated 2020-06-29
Handle: RePEc:dau:thesis:123456789/13651