The impact of the covid-19 crisis on the determinants of the french yield curve / Loïc SAYAVONGSA / 2021

Titre : The impact of the covid-19 crisis on the determinants of the french yield curve Type de document : Mémoire Auteurs : Loïc SAYAVONGSA, Auteur Année de publication : 2021 Importance : 30 p. Note générale : Pour accéder aux fichiers PDF, merci de vous identifier sur le catalogue avec votre compte Office 365 via le bouton CONNEXION en haut de page. Langues : Anglais (eng) Mots-clés : Management CRISE ECONOMIQUE ; TAUX DE CHANGE Résumé : In this study, we explore the impact of the COVID-19 pandemic on the French sovereign yield curve, using the French 10-year government bond as a reference, more commonly known as the "Obligation Assimilable du Trésor à 10 ans"1 (OAT10). We conduct a comparative analysis through a set of seven independent variables, including demographic, financial and monetary variables, to which we run a multiple linear regression against the OAT10 yield independent variable, over two distinct periods: a pre-COVID-19 period from March 16, 2018, to March 15, 2019, and a so-called COVID-19 period, from March 16, 2020, to September 16, 2020. The empirical results of our comparative analysis highlight two things. On the one hand, we find that fewer independent variables are statistically significant in explaining the OAT10 yield during the COVID-19 crisis than under normal market conditions. On the other hand, we find a significant change in the relative importance of these same independent variables in explaining the OAT10 yield. Our results suggest a "flight to quality" from risky assets to risk-free assets, namely sovereign bonds, which results in a downward shift in the French sovereign yield curve. In addition, the uncertainty over the short term due to COVID-19, pushes investors to arbitrage in favor of longer maturity bonds, which results in a flattening of the yield curve. These movements in the French sovereign yield curve are accentuated by global rather than national phenomena. In particular, the economic, financial, and monetary conditions of the euro zone compared to those of the United States. The study of the EUR/USD exchange rate and its volatility indicator allows us to highlight this. Thus, this double effect on the sovereign yield curve in France suggests that the COVID-19 pandemic is indeed having an impact on its economic slowdown. We will explore the main determinants of the French yield curve, and how these varied during the COVID-19 pandemic crisis Programme : MSc Financial Markets & Technologies Permalink : https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=538627