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

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
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https://halshs.archives-ouvertes.fr/halshs-01184069
Contributor : Anne l'Azou <>
Submitted on : Wednesday, August 12, 2015 - 4:05:43 PM
Last modification on : Tuesday, February 5, 2019 - 12:12:14 PM

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  • HAL Id : halshs-01184069, version 1

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Franck Martin, Jiangxingyun Zhang. Dynamics of bond markets during the EMU crisis : theoretical and empirical approaches in a portfolio theory framework. Twenty Second International Conference FORECASTING FINANCIAL MARKETS, www.aea-eu.net; TAC Economics, May 2015, Rennes, France. ⟨halshs-01184069⟩

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