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

  • Éric Jondeau
  • Roland Ricart

[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.

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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 140 (1999)
Issue (Month): 4 ()
Pages: 1-20

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5971
Note: DOI:10.3406/ecop.1999.5971
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  1. John Y. Campbell & Robert J. Shiller, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 495-514.
  2. Hardouvelis, Gikas A., 1994. "The term structure spread and future changes in long and short rates in the G7 countries: Is there a puzzle?," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 255-283, April.
  3. Arturo Estrella & Frederic S. Mishkin, 1995. "The term structure of interest rates and its role in monetary policy for the European Central Bank," Research Paper 9526, Federal Reserve Bank of New York.
  4. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-89, October.
  5. Mishkin, F.S., 1988. "What Does The Term Structure Tell Us About Future Inflation?," Papers fb-_88-29, Columbia - Graduate School of Business.
  6. Gerlach, Stefan, 1995. "The Information Content of the Term Structure: Evidence for Germany," CEPR Discussion Papers 1264, C.E.P.R. Discussion Papers.
  7. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Harvard Institute of Economic Research Working Papers 1713, Harvard - Institute of Economic Research.
  8. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
  9. Jondeau, Eric & Ricart, Roland, 1999. "The expectations hypothesis of the term structure: tests on US, German, French, and UK Euro-rates," Journal of International Money and Finance, Elsevier, vol. 18(5), pages 725-750, October.
  10. 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.
  11. John Y. Campbell & Robert J. Shiller, 1988. "Interpreting Cointegrated Models," NBER Working Papers 2568, National Bureau of Economic Research, Inc.
  12. Mishkin, Frederic S., 1991. "A multi-country study of the information in the shorter maturity term structure about future inflation," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 2-22, March.
  13. Jorion, Philippe & Mishkin, Frederic, 1991. "A multicountry comparison of term-structure forecasts at long horizons," Journal of Financial Economics, Elsevier, vol. 29(1), pages 59-80, March.
  14. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, vol. 13(4), pages 509-528, December.
  15. Fama, Eugene F., 1990. "Term-structure forecasts of interest rates, inflation and real returns," Journal of Monetary Economics, Elsevier, vol. 25(1), pages 59-76, January.
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