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La théorie des anticipations de la structure par terme : test à partir de titres publics français

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  • Eric JONDEAU
  • Roland RICART

Abstract

This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Adopting the approach proposed by Campbell and Shiller [1991], we obtain ambiguous results, similar to the puzzle highlighted by these authors with US data. Analyzing stationarity of excess returns and error-correction models gives more details on these results: the expectations hypothesis is broadly accepted when holding returns are considered whereas it is systematically rejected for rollover returns.

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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (1998)
Issue (Month): 52 ()
Pages: 1-22

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Handle: RePEc:adr:anecst:y:1998:i:52:p:01

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Cited by:
  1. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux d’intérêt en France," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 163(2), pages 117-129.

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