Emile-Alexandre Marin is CERF's fully funded Phd Scholar (2015-2018). Darwin College.
CERF PhD Scholar: Emile-Alexandre Marin
PhD Supervisor: Professor Giancarlo Corsetti
University of Cambridge, Faculty of Economics
PhD Title & Abstract:
Time varying, directional connectedness of bond markets in Europe
The European experience of the recession has been painful and intimately linked to deteriorating macroeconomic fundamentals leading to sovereign default risk. I wish to construct a network of European bond markets using measures of connectedness and investigate the onset of the recession and its propagation from a novel perspective. Importantly, I will be able to investigate the direction of shocks, identifying which markets have been fundamental to the progression of events. In this framework I can analyse the effectiveness of policies conducted at both country and European level, as well as identify coordination benefits. I also aim to identify the importance of access to capital markets for countries facing default and the externalities of this on the Eurozone as a whole. Moreover, using a time-varying adjacency matrix, I can identify how the structure of the network changed over time and after important economic events such as the exclusion of countries from bond markets.