Regime switching in bond yield and spread dynamics.

Summary This thesis develops different regime-switching models of the term structure of interest rates. A general framework for modeling the rates associated with different issuers is presented (chapter 2). This framework is exploited to analyze the government rates of ten euro zone countries between 1999 and 2012 (chapter 3). A crisis regime is used to explain the increase in rate volatility during the financial crisis. This study also shows that the liquidity of securities is a determining factor for their valuation. The modeling framework is completed in order to study the causal link between two types of tensions: those linked to liquidity motives and those linked to credit motives (chapter 4). Finally, the influence of monetary policy on the yield curve is examined through a model in which an innovative use of regime shifts allows for the production of realistic paths for central bank policy rates (chapter 5).