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International Portfolio Theory-based Interest Rate Models and EMU Crisis

Abstract : This thesis examines the specific role of volatility risks and co-volatility in the formation of long-term interest rates in the euro area. In particular, a two-country theoretical portfolio choice model is proposed to evaluate the volatility risk premia and their contribution to the contagion and flight to quality processes. This model also provides an opportunity to analyze the ECB's role of asset purchases (QE) on the equilibrium of bond markets. Our empirical tests suggest that the ECB's QE programs from March 2015 have accelerated the "defragmentation" of the euro zone bond markets.
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Submitted on : Monday, January 15, 2018 - 5:08:22 PM
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Jiangxingyun Zhang. International Portfolio Theory-based Interest Rate Models and EMU Crisis. Economics and Finance. Université Rennes 1, 2017. English. ⟨NNT : 2017REN1G011⟩. ⟨tel-01684720⟩

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