Olesya Grishchenko (Federal Reserve) présentera un travail de recherche intitulé "The Term Structure of the Nominal and Real French Government Debt".
Abstract : In this research, we construct the French nominal yield curve using all available public data of French nominal Treasury securities of maturities at issuance from 1 to 50 years. Our investigation period starts in 1984, includes the advent of the euro in January 1999, and ends in April 2018. The analysis of fitting errors shows that the Svensson modelts the data well. The French sovereign bond market has been functioning reasonably well, especially since the launch of the euro, outsides of a few episodes - the Global Financial Crisis period and the European sovereign crisis period. In sharp contrast to the nominal U.S. Treasury securities market, the on-the-run securities have, on average, a negligible liquidity premium. The level and the slope of the French zero-coupon rates have been decreasing since the financial crisis.
I will also report, during the seminar, some recent results about inflation, real interest rates, and the French index-linked government bond market.