La théorie des anticipations de la structure par terme : test à partir de titres publics français
AbstractThis paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Adopting the approach proposed by Campbell and Shiller , 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 InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (1998)
Issue (Month): 52 ()
Other versions of this item:
- Jondeau, E. & Ricart, R., 1997. "La théorie des anticipations de la structure par terme : test à partir des titres publics français," Working papers, Banque de France 45, Banque de France.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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- Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 163(2), pages 117-129.
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