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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 : UMR7166 - Université de Paris X - Nanterre)

  • Remzi Uctum

    (EconomiX - CNRS : UMR7166 - Université de Paris X - Nanterre)

Abstract

Les anticipations de taux d'intérêt révélées par les enquêtes de Consensus Forecasts 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 extrapolatif 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 : (i) la prime de risque dépend de la variance du taux court et de la covariance entre ce dernier et l'inflation, (ii) les valeurs estimées du coefficient associé au spread de taux et du coefficient d'aversion sont conformes à la théorie. Toutefois, l'ajustement des taux de marché sur la relation d'équilibre de portefeuille ne s'effectue que progressivement, ce phénomène pouvant être attribué à l'existence de coûts de transaction.

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Paper provided by HAL in its series Post-Print with number halshs-00173105.

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Date of creation: 2007
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Handle: RePEc:hal:journl:halshs-00173105

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Keywords: Structure par terme des taux d'inrérêt; 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. 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.
  3. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
  4. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  5. 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.
  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. Roll, Richard, 1971. "Investment Diversification and Bond Maturity," Journal of Finance, American Finance Association, vol. 26(1), pages 51-66, March.
  8. 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.
  9. 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.
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