Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts
AbstractUsing Consensus Economics? monthly surveys, we show that experts? interest rate expectations in the Eurofranc market do not verify the rational expectations hypothesis. These expectations are found to be generated by a mixed process combining the traditional adaptive, regressive and extrapolative processes augmented by macroeconomic effects (price, income, money). This mixed expectational process verifies the term structure relation of interest rates based on the portfolio choice model with a long term asset and a short term asset, where a state-space representation is introduced to account for the unobservable part of the long term asset in the portfolio. As predicted by the theoretical model, the risk premium depends on the conditional expected variance of the short term asset and on the conditional expected covariance between the latter and inflation, while the estimated value of the relative risk aversion coefficient is found to be economically acceptable. Overall, these results support that experts? expectations are consistent with the model of interest rate term structure. JEL Classification : D81, D84, E43
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Bibliographic InfoArticle provided by De Boeck Université in its journal Recherches économiques de Louvain.
Volume (Year): 76 (2010)
Issue (Month): 2 ()
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Web page: http://www.cairn.info/revue-recherches-economiques-de-louvain.htm
term structure of interest rates; expectations; risk premium;
Other versions of this item:
- Georges Prat & Remzi Uctum, 2010. "Anticipations, prime de risque et structure par terme des taux d’intérêt : une analyse des comportements d’experts," Discussion Papers (REL - Recherches Economiques de Louvain) 2010024, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Georges Prat & Remzi Uctum, 2007. "Anticipations, prime de risque et structure par terme des taux d'intérêt: une analyse des comportements d'experts," Post-Print halshs-00173105, HAL.
- Georges Prat & Remzi Uctum, 2006. "Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts," EconomiX Working Papers 2006-11, University of Paris West - Nanterre la Défense, EconomiX.
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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