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La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?

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  • Éric Jondeau

Abstract

In this paper, I measure the ability of the expectations hypothesis (EH) to explain Euro-rate movements, in a restricted VAR framework. Several tests of the EH are performed. Some methodological issues in the design of these tests are addressed. Over the period 1982-1997, the EH is not rejected by the data for French and UK Euro-rates, but it is generally rejected for US and German Euro-rates. Comparing the actual spread with the theoretical spread, I find evidence that this rejection can be mainly explained by an over-reaction of long-term rates to expected changes in short-term rates.

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  • Éric Jondeau, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annals of Economics and Statistics, GENES, issue 62, pages 139-174.
    • Handle: RePEc:adr:anecst:y:2001:i:62:p:139-174
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    4. Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank.

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