Data di Pubblicazione:
2017
Citazione:
INFLATION-INDEXED BONDS IN THE EUROZONE / J. Sorbo ; tutor: A. Missale. DIPARTIMENTO DI ECONOMIA, MANAGEMENT E METODI QUANTITATIVI, 2017 Dec 13. 29. ciclo, Anno Accademico 2016. [10.13130/sorbo-jacopo_phd2017-12-13].
Abstract:
The thesis consists in two papers exploiting thorughly the inflation-indexed bond markets
in the Eurozone. In the first paper, after presenting some empirical stylized facts
about the European sovereign inflation-indexed markets we address the effectiveness of
nominal and real rational expectation hypothesis and of inflation-expectation hypothesis.
Then, we document the existence of a liquidity premium and of a default premium
for France, Italy and Germany, moving from a market based measure of inflation.
The second paper is about yield curve modeling and forecasting. We provide a threefactor
yield curve model delivering estimates for nominal term structure of France,
Germany and Italy, from January 2000 to December 2016 and for real term structure of
France and Italy from July 2003 to December 2016. The framework is the latent factor
model with time varying level, slope and curvature. The overall fitting performances
is good and the identification is consistent with many shapes assumed by the term
structure. After the empirical estimation we forecast the yield curve by forecasting the
factors and we compare them with several standard competitors. Lastly, we document
for the first time a significant liquidity issue on short-term real bond spreads and of
a default premium affecting more heavily real spreads as compared to nominal across
various maturities.
Tipologia IRIS:
Tesi di dottorato
Keywords:
Inflation-indexed securities; Sovereign Debt; Real Interest Rate; Risk Premia
Elenco autori:
J. Sorbo
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