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Fuel up with OATmeals! The case of the French nominal yield curve

Abstract : We construct the French nominal yield curve using Svensson33 methodology and all available public data of French nominal government debt securities—Obligations Assimilables du Trésor (OATs). Our sample period starts in October 1987 and ends in April 2018. We find that the functioning of the French sovereign bond market has improved dramatically following the onset of the euro area and has been functioning reasonably well since then, with the exceptions of the Global Financial Crisis period and the European sovereign crisis period. We also find that, the French nominal on-the-run securities have, on average, a negligible liquidity premium, in sharp contrast to the U.S. nominal Treasury market, where such a premium is sizable. On average, the level and the slope of the French zero-coupon rates have been decreasing since the Global Financial Crisis.
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Submitted on : Monday, November 2, 2020 - 2:25:21 PM
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Olesya Grishchenko, Franck Moraux, Olga Pakulyak. Fuel up with OATmeals! The case of the French nominal yield curve. The Journal of Finance and Data Science, KeAi Publishing, 2020, 6, pp.49-85. ⟨10.1016/j.jfds.2020.07.001⟩. ⟨halshs-02980563⟩

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