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

Author

Listed:
  • Georges Prat
  • Remzi Uctum

Abstract

Using Consensus Economics? monthly surveys, we show that experts? interest rate expectations in the Eurofranc market do not verify the rational expectations hypothesis. These expectations are found to be generated by a mixed process combining the traditional adaptive, regressive and extrapolative processes augmented by macroeconomic effects (price, income, money). This mixed expectational process verifies the term structure relation of interest rates based on the portfolio choice model with a long term asset and a short term asset, where a state-space representation is introduced to account for the unobservable part of the long term asset in the portfolio. As predicted by the theoretical model, the risk premium depends on the conditional expected variance of the short term asset and on the conditional expected covariance between the latter and inflation, while the estimated value of the relative risk aversion coefficient is found to be economically acceptable. Overall, these results support that experts? expectations are consistent with the model of interest rate term structure. JEL Classification : D81, D84, E43

Suggested Citation

  • Georges Prat & Remzi Uctum, 2010. "Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts," Recherches économiques de Louvain, De Boeck Université, vol. 76(2), pages 195-217.
    • Handle: RePEc:cai:reldbu:rel_762_0195
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    Cited by:

    1. Prat, Georges & Uctum, Remzi, 2021. "Term structure of interest rates: Modelling the risk premium using a two horizons framework," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 421-436.
    2. repec:spo:wpmain:info:hdl:2441/5221 is not listed on IDEAS
    3. Georges Prat & Remzi Uctum, 2018. "Term structure of interest rates: modelling the risk premium using a two horizons framework," Working Papers hal-04141774, HAL.

    More about this item

    Keywords

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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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