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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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