Fuel up with OATmeals! The case of the French nominal yield curve

Olesya Grishchenko, Franck Moraux () and Olga Pakulyak ()
Additional contact information
Olesya Grishchenko: Division of Monetary Affairs, Federal Reserve Board
Olga Pakulyak: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique, UR - Université de Rennes

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Abstract: We construct the French nominal yield curve using Svensson33 methodology and all available public data of French nominal government debt securities—Obligations Assimilables du Trésor (OATs). Our sample period starts in October 1987 and ends in April 2018. We find that the functioning of the French sovereign bond market has improved dramatically following the onset of the euro area and has been functioning reasonably well since then, with the exceptions of the Global Financial Crisis period and the European sovereign crisis period. We also find that, the French nominal on-the-run securities have, on average, a negligible liquidity premium, in sharp contrast to the U.S. nominal Treasury market, where such a premium is sizable. On average, the level and the slope of the French zero-coupon rates have been decreasing since the Global Financial Crisis.

Keywords: French nominal government bonds; Term structure of French interest rates; OATs; Yield curve; Svensson model; On-the-run premium; Sovereign spread; Predictability (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-eec
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-02980563
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Published in The Journal of Finance and Data Science, 2020, 6, pp.49-85. ⟨10.1016/j.jfds.2020.07.001⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-02980563

DOI: 10.1016/j.jfds.2020.07.001

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