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 45, Banque de France.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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