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Le contenu en information de la pente des taux : application au cas des titres publics français

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  • Éric Jondeau
  • Roland Ricart

Abstract

[fre] Le contenu en information de la pente des taux : application au cas des titres publics français . par Eric Jondeau et Roland Ricart . Ce papier propose une évaluation du contenu en information de la pente des taux d'intérêt concernant l'évolution future des taux d'intérêt et des taux d'inflation en France. Une base de données contenant des courbes de taux d'intérêt zéro-coupon sur titres publics a été construite à cette fin pour la période 1980-95. Le contenu en information de la pente des taux est négligeable sur l'ensemble de la période. Entre 1985 et 1995 en revanche, la pente a, pour certains horizons, un pouvoir prédictif assez net. Ainsi, les pentes des taux vis-à-vis du taux à 2 ans contiennent de l'information sur l'évolution future des taux courts, les pentes des taux vis-à-vis du taux à 3 ans à la fois sur l'évolution des taux courts et des taux longs ; les pentes des taux (2 ans - 1 an) à (5 ans - 1 an) et (4 ans - 2 ans) ont un pouvoir prédictif concernant l'évolution de l'inflation. [eng] The Information Content of the Term Structure: Application to French Government Bonds - . by Eric Jondeau and Roland Ricart . This paper evaluates the information content of the term structure for future growth in interest and inflation rates in France. A data set of zero-coupon yield curves on government bonds has been constructed for the 1 980- 1 995 period. The term structure's information content is generally very weak for this period. However, the 1985-1995 term structure proves to have a predictive quality for certain maturities. For example, the two-year rate term structures contain information on future changes in short-term rates, whereas the three-year rate term structures are weakly informative as to future changes in both short-term and long-term rates. The term structures (two years versus one year) to (five years versus one year) and (four years versus two years) are the most informative as to future changes in the inflation rate.

Suggested Citation

  • Éric Jondeau & Roland Ricart, 1999. "Le contenu en information de la pente des taux : application au cas des titres publics français," Économie et Prévision, Programme National Persée, vol. 140(4), pages 1-20.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5971
    DOI: 10.3406/ecop.1999.5971
    Note: DOI:10.3406/ecop.1999.5971
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    Cited by:

    1. Rossi, Giovanni, 2004. "Euro Weakness in the Late Nineties," MPRA Paper 90272, University Library of Munich, Germany.
    2. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
    3. Éric Jondeau & Roland Ricart, 1998. "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annals of Economics and Statistics, GENES, issue 52, pages 1-22.
    4. Jondeau, E. & Sedillot, F., 1998. "La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles," Working papers 55, Banque de France.
    5. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.
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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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