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La mesure du ratio rendement-risque a partir du marche des euro-devises

Author

Listed:
  • Jondeau, E.

Abstract

Nous etudions dans ce papier la relation entre le rendement et le risque pour les marches de taux sur l'euro-dollar, l'euro-mark et l'euro-franc, de 1975 à 1997. Nous testons la relation entre l'exces de rendement de portage et la volatilite a partir d'une modelisation ARCH-in-Mean. Nous trouvons tout d'abord que la variance conditionnelle évolue selon une dynamique non-stationnaire, qu'il n'existe pas d'effets d'asymetrie des chocs de rendement sur la variance et que la distribution conditionnelle la plus adaptee est la loi de Student pour l'euro-dollar et la GED pour l'euro-mark et l'euro-franc. Nous obtenons alors que la meilleure relation entre l'exces de rendement et le risque est obtenue lorsque le risque est represente par le logarithme de la volatilite pour les trois marches. Finalement, les estimations du ratio rendement-risque sont plus faibles que celles obtenues a partir des rendements boursiers, mais du meme ordre que celles issues des rendements monetaires et obligataires.

Suggested Citation

  • Jondeau, E., 1999. "La mesure du ratio rendement-risque a partir du marche des euro-devises," Working papers 59, Banque de France.
    • Handle: RePEc:bfr:banfra:59
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    File URL: https://publications.banque-france.fr/sites/default/files/medias/documents/working-paper_59_1999.pdf
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    More about this item

    Keywords

    Structure par terme des taux d'intérêt ; Ratio rendement-risque ; Modèle ARCH-in-Mean;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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