Dynamics of bond markets during the EMU crisis: theoretical and empirical approaches in a portfolio theory framework

Franck Martin and Zhang Jiangxingyun

Post-Print from HAL

Abstract: This paper focuses on the dynamics of sovereign bonds rates during different phases of the debt crisis in the Eurozone. With a study period begins from January 2008 to January 2015 . Several important dates December 2009: Downgrading of Greek sovereign bond September 2012: Implementation of Outright Monetary Transaction (OMT), or "Draghi Put" January 2015 : Announcement of Quantitative Easing plan by European Central Bank We have the intuition that the evolution of sovereign bonds interest rates is not only guided by macroeconomic factors such as news on the solvability of each country (bond issuer) sustainability of the debt low inflation background. We believe that the dynamics of rates could also be related to rational behaviors (or not ?) on portfolio choices such as short run expected returns on bonds variance and covariance on these returns

Keywords: sovereign bonds rates; debt crisis; Eurozone (search for similar items in EconPapers)
Date: 2015-05-20
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Published in Twenty Second International Conference FORECASTING FINANCIAL MARKETS, www.aea-eu.net; TAC Economics, May 2015, Rennes, France

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:halshs-01184069

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().