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Anticipations, prime de risque et structure par terme des taux d’intérêt : une analyse des comportements d’experts

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  • Georges Prat

    (Economix, CNRS /Université de Paris Ouest - Nanterre La Défense)

  • Remzi Uctum

    (Economix, CNRS /Université de Paris Ouest - Nanterre La Défense)

Abstract

Les anticipations des taux d'intérêt révélées par les enquêtes de Consensus Economics auprès d'experts sur le marché de l'Eurofranc ne vérifient pas l'hypothèse de rationalité. Elles résultent d'un processus mixte fondé sur une complémentarité entre les modèles anticipatifs traditionnels adaptatif, régressif et exploratif augmentés d'effets macroéconomiques ( prix, revenu, monnaie). En utilisant une représentation espace-état dans le but de rendre compte de la part inobservable de l'actif long dans le portefeuille composé d'un actif long et d'un actif court, on montre que ces anticipations vérifient la relation de structure par terme de taux fondée sur un modèle de choix de portefeuille. Conformément aux prédictions du modèle, la prime de risque dépend de la variance conditionnelle attendue du taux court et de la covariance conditionnelle attendue entre ce dernier et l'inflation, avec une valeur estimée du coefficient d'aversion relative au risque économiquement acceptable. Dans l'ensemble, ces résultats montrent qu'il y a compatibilité entre le modèle de structure de taux et les anticipations des experts.

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Bibliographic Info

Paper provided by Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) in its series Discussion Papers (REL - Recherches Economiques de Louvain) with number 2010024.

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Length: 22
Date of creation: 01 Jun 2010
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Handle: RePEc:ctl:louvre:2010024

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Keywords: Structure par terme des taux d’intérêt; anticipations; prime de risque;

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  1. Froot, Kenneth A, 1989. " New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(2), pages 283-305, June.
  2. Feige, Edgar L & Pearce, Douglas K, 1976. "Economically Rational Expectations: Are Innovations in the Rate of Inflation Independent of Innovations in Measures of Monetary and Fiscal Policy?," Journal of Political Economy, University of Chicago Press, vol. 84(3), pages 499-522, June.
  3. Roll, Richard, 1971. "Investment Diversification and Bond Maturity," Journal of Finance, American Finance Association, vol. 26(1), pages 51-66, March.
  4. Dobson, Steven W & Sutch, Richard C & Vanderford, David E, 1976. "An Evaluation of Alternative Empirical Models of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 31(4), pages 1035-65, September.
  5. Gerlach, Stefan & Smets, Frank, 1995. "The Term Structure of Euro-Rates: Some Evidence in Support of the Expectations Hypothesis," CEPR Discussion Papers 1258, C.E.P.R. Discussion Papers.
  6. Roley, V Vance, 1981. "The Determinants of the Treasury Security Yield Curve," Journal of Finance, American Finance Association, vol. 36(5), pages 1103-26, December.
  7. Sargent, Thomas J, 1969. "Commodity Price Expectations and the Interest Rate," The Quarterly Journal of Economics, MIT Press, vol. 83(1), pages 127-40, February.
  8. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  9. R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
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