Dynamics of bond markets during the EMU crisis : theoretical and empirical approaches in a portfolio theory framework
Résumé
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
Domaines
Economies et finances
Loading...