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Le contenu en information de la pente des taux : application au cas des titres publics français

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  • Roland Ricart
  • Éric Jondeau

Abstract

[eng] The Information Content of the Term Structure: Application to French Government Bonds - . by Eric Jondeau and Roland Ricart . This paper evaluates the information content of the term structure for future growth in interest and inflation rates in France. A data set of zero-coupon yield curves on government bonds has been constructed for the 1 980- 1 995 period. The term structure's information content is generally very weak for this period. However, the 1985-1995 term structure proves to have a predictive quality for certain maturities. For example, the two-year rate term structures contain information on future changes in short-term rates, whereas the three-year rate term structures are weakly informative as to future changes in both short-term and long-term rates. The term structures (two years versus one year) to (five years versus one year) and (four years versus two years) are the most informative as to future changes in the inflation rate. [fre] Le contenu en information de la pente des taux : application au cas des titres publics français . par Eric Jondeau et Roland Ricart . Ce papier propose une évaluation du contenu en information de la pente des taux d'intérêt concernant l'évolution future des taux d'intérêt et des taux d'inflation en France. Une base de données contenant des courbes de taux d'intérêt zéro-coupon sur titres publics a été construite à cette fin pour la période 1980-95. Le contenu en information de la pente des taux est négligeable sur l'ensemble de la période. Entre 1985 et 1995 en revanche, la pente a, pour certains horizons, un pouvoir prédictif assez net. Ainsi, les pentes des taux vis-à-vis du taux à 2 ans contiennent de l'information sur l'évolution future des taux courts, les pentes des taux vis-à-vis du taux à 3 ans à la fois sur l'évolution des taux courts et des taux longs ; les pentes des taux (2 ans - 1 an) à (5 ans - 1 an) et (4 ans - 2 ans) ont un pouvoir prédictif concernant l'évolution de l'inflation.

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Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 140 (1999)
Issue (Month): 4 ()
Pages: 1-20

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5971

Note: DOI:10.3406/ecop.1999.5971
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
  2. John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," NBER Working Papers 3153, National Bureau of Economic Research, Inc.
  3. Gerlach, Stefan & Smets, Frank, 1995. "The Term Structure of Euro-Rates: Some Evidence in Support of the Expectations Hypothesis," CEPR Discussion Papers 1258, C.E.P.R. Discussion Papers.
  4. Frederic S. Mishkin, 1990. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
  5. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Harvard Institute of Economic Research Working Papers 1713, Harvard - Institute of Economic Research.
  6. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
  7. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, vol. 13(4), pages 509-528, December.
  8. Jorion, Philippe & Mishkin, Frederic, 1991. "A multicountry comparison of term-structure forecasts at long horizons," Journal of Financial Economics, Elsevier, vol. 29(1), pages 59-80, March.
  9. Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
  10. Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March.
  11. Gerlach, Stefan, 1995. "The Information Content of the Term Structure: Evidence for Germany," CEPR Discussion Papers 1264, C.E.P.R. Discussion Papers.
  12. Arturo Estrella & Frederic S. Mishkin, 1998. "The Term Structure of Interest Rates and Its Role in Monetary Policy for The European Central Bank," NBER Working Papers 5279, National Bureau of Economic Research, Inc.
  13. Hardouvelis, Gikas A., 1994. "The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle?," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 255-283, April.
  14. Jondeau, Eric & Ricart, Roland, 1999. "The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 725-750, October.
  15. Campbell, John Y. & Shiller, Robert J., 1988. "Interpreting cointegrated models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 505-522.
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Cited by:
  1. Jondeau, E. & Sedillot, F., 1998. "La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles," Working papers 55, Banque de France.
  2. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.

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