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Spread corrigé des risques et dynamique du taux d'intérêt à long terme : une application aux marchés allemand, américain et italien

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  • Gianluca Salsecci
  • Giovanna Paladino
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    Abstract

    [eng] The Risk-Modified Spread in Modelling the Dynamics of the Long-Term interest Rate : an . Application to the German, American and Italian Markets . by Giovanna Paladino and Gianluca Salsecci . Preliminary unit-root tests on a sample of US, German and Italian monthly data indicate that the spreads between the ten-year and one-month interest rates are not stationary. This result is inconsistent with the pure expectations hypothesis. However, it may be consistent with the Tenri/Risk Premium hypothesis in a context of rational but risk-adverse agents. After specifying the term/risk premium as a function of a selected number of economic policy variables, the risk-modified spread (RMS) is introduced to explain the long-rate dynamics. In the multivariate cointégration approach developed by Johansen (1988), the RMS model is found to have a higher explicative and predictive power than both the pure expectations and random walk hypotheses. [fre] Spread corrigé des risques et dynamique du taux d'intérêt à long terme : . une application aux marchés allemand, américain et italien . par Giovanna Paladino et Gianluca Salsecci . Les tests effectués sur des données mensuelles concernant les États-Unis, l'Allemagne et l'Italie, montrent que les spreads entre le taux d'intérêt à dix ans et le taux d'intérêt à un mois ne sont pas stationnaires. Ce résultat est en contradiction avec l'hypothèse des anticipations parfaites mais peut être compatible avec l'hypothèse de la prime de terme dans un contexte où les agents sont rationnels mais ont une aversion pour le risque. Nous avons défini la prime de terme comme une fonction de variables de politique économique. Nous avons, ensuite, introduit la notion de spread corrigé des risques pour expliquer la dynamique du taux long. C'est le cadre d'analyse de la cointégration proposé par Johansen (1988) qui a été adopté. Dans ce cadre, le modèle du spread corrigé des risques est plus performant, en termes de pouvoir explicatif et prédictif, que le modèle des anticipations parfaites et la marche aléatoire.

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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: 45-62

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5974

    Note: DOI:10.3406/ecop.1999.5974
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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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