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Regime switching in bond yield and spread dynamics


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  • Monfort, Alain

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  • Renne, Jean-Paul
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    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).

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    This book is provided by Paris Dauphine University in its series Economics Thesis from University Paris Dauphine with number 123456789/13651 and published in 2013.

    Handle: RePEc:dau:thesis:123456789/13651

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    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;

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