IDEAS home Printed from https://ideas.repec.org/p/hal/journl/halshs-01184069.html
   My bibliography  Save this paper

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

Author

Listed:
  • Franck Martin

    (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)

  • Jiangxingyun Zhang

    (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)

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

Suggested Citation

  • Franck Martin & Jiangxingyun Zhang, 2015. "Dynamics of bond markets during the EMU crisis : theoretical and empirical approaches in a portfolio theory framework," Post-Print halshs-01184069, HAL.
    • Handle: RePEc:hal:journl:halshs-01184069
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Franck Martin & Jiangxingyun Zhang, 2020. "La structure des taux revisitée pour période de crise : entre contagion, flight to quality et quantitative easing," Revue économique, Presses de Sciences-Po, vol. 71(4), pages 623-665.
    2. Franck Martin & Jiangxingyun Zhang, 2017. "Impact of QE on European sovereign bond market," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2017-04, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-01184069. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.