Essays on sovereign bond pricing and inflation-linked products

Zorka Simon

Research output: ThesisDoctoral Thesis

Abstract

This doctoral dissertation consists of three chapters on the pricing of sovereign debt and inflation-linked products. The first chapter examines the relative pricing of nominal and inflation-linked debt of the three largest Eurozone sovereign issuers. Its main contribution is to present evidence of a selective default premium in real bond yields. The second chapter shifts its focus to the US inflation-linked product markets and quantifies liquidity premium in TIPS and inflation swap rates. The size of this compensation for exposure to asset level and liquidity risk helps to explain a large part of the TIPS-Treasury puzzle. The third chapter studies whether nominal bond markets are segmented across different maturities and contributes to the policy discussion on long term discount rates of the Solvency II Directive of the European Union.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Driessen, Joost, Promotor
  • Nijman, Theo, Promotor
Award date28 Oct 2016
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 488 4
Publication statusPublished - 2016

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