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La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles

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Author Info

  • Jondeau, E.
  • Sedillot, F.

Abstract

Nous développons dans ce papier un modèle de prévision des taux longs fondé sur les hypothèses d'absence d'opportunité d'arbitrage et de rtionalité des agents. Le taux long est représenté comme une moyenne des taux courts anticipés. Ceux-ci sont modélisés à partir de trois formulations : deux modèles univariés (stationnaire ou non-stationnaire) et un modèle dans lequel la cible de long terme dépend des anticipations des marchés. Ces approches sont appliquées aux données françaises et allemandes, sur la période 1960-96. Nous trouvons que, pour un horizon assez court, le meilleur ajustement est obtenu à partir des anticipations des marchés.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 55.

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Length: 26 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:bfr:banfra:55

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Keywords: Taux d’intérêt;

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