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The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?

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  • Jondeau, E.
  • Ricart, R.

Abstract

In this paper, we evaluate the information content of the yield curve as regards future interest rates and inflation in France and Germany. An original data set of long-term zero-coupon interest rates for French and German government bonds was constructed for the period 1980-97. Empirical evidence shows that the German yield curve has a significant information content about the future average change in short-term rates and the future path of inflation. The information content of the French yield curve is much more limited and is only relevant for the average change in short-term rates. We show that the difference between the results obtained for both countries mainly stems from lower variability in German risk premia than in French risk premia.

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Bibliographic Info

Paper provided by Banque de France in its series Working papers with number 61.

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Length: 33 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:bfr:banfra:61

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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: Term structure of interest rates ; Information content;

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References

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  1. Gikas A. Hardouvelis, 1987. "The predictive power of the term structure during recent monetary regimes," Research Paper 8708, Federal Reserve Bank of New York.
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Cited by:
  1. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux d’intérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.

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