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Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire

  • Roberto Violi
  • Francesco Drudi

[fre] Structure par terme des taux d'intérêt, volatilité et prime de risque : . applications au marché de l'Eurolire . par Francesco Drudi et Roberto Violi . Cet article est consacré au contenu en information de la structure par terme des taux d'intérêt pour le marché de l'Eurolire. À l'aide de l'estimation d'un modèle d'équilibre à un facteur de la structure par terme (Cox, Ingersoll et Ross, 1985), nous avons extrait des informations sur les mesures des anticipations de la volatilité et des primes de risque, à partir des taux d'intérêt nominaux et des prix d'options. Selon nos tests, les taux d'intérêt nominaux de l'Eurolire tout comme les spreads taux courts / taux longs ont une racine (quasi) unitaire. La présence de ces racines a, comme on le sait, des conséquences sur les estimations des paramètres des modèles à facteurs de la structure par terme. La qualité de ces estimations conditionne celle des mesures des primes de risque et de la volatilité. Elle permet aussi de tester la validité empirique de la théorie des anticipations de la structure par terme (" Expectation Hypothesis of the Term Stmcture", EHTS). Des différents tests empiriques, on déduit le rejet de l'ÊHTS, la volatilité et les primes de risque observées sur le marché de l'Eurolire étant relativement élevées. [eng] The Term Structure of Interest Rates, Volatility and Risk Premia : Applications to the Eurolira . Market by Francesco Drudi and Roberto Violi . This paper studies the information content of the term structure of interest rates on the Eurolira market. By estimating a single-factor equilibrium model of the term structure (Cox, Ingersoll and Ross, 1985), we derive measures of expectations, volatility and risk premia embodied in nominal interest rates and option prices. We provide econometric evidence indicating that Eurolira nominal interest rates display (near) unit-root behaviour. This property also extends to spreads between short and long rates. (Near) unit-roots have far-reaching implications as regards estimating parameters for factor models of the term structure. The quality of such estimates is crucial to measuring risk-premia and volatility and especially to assessing the empirical validity of the Expectations Hypothesis of the Term Structure (EHTS). Empirical tests suggest that the size and volatility of risk premia observed on the Eurolira market are substantial enough to warrant rejecting the EHTS.

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File URL: http://dx.doi.org/doi:10.3406/ecop.1999.5972
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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 140 (1999)
Issue (Month): 4 ()
Pages: 21-34

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5972
Note: DOI:10.3406/ecop.1999.5972
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecop

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  1. Shiller, Robert & Campbell, John, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Scholarly Articles 3221490, Harvard University Department of Economics.
  2. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
  3. Arshanapalli, Bala & Doukas, John, 1994. "Common stochastic trends in a system of Eurocurrency rates," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1047-1061, December.
  4. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  5. Sheikh, Aamir M, 1993. "The Behavior of Volatility Expectations and Their Effects on Expected Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 93-116, January.
  6. Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, vol. 21(1), pages 41-70, May.
  7. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier.
  8. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
  9. Gerlach, Stefan & Smets, Frank, 1997. "The term structure of Euro-rates: some evidence in support of the expectations hypothesis," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 305-321, April.
  10. Bradley, Michael G. & Lumpkin, Stephen A., 1992. "The Treasury Yield Curve as a Cointegrated System," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 449-463, September.
  11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  12. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  13. Fama, Eugene F & Bliss, Robert R, 1987. "The Information in Long-Maturity Forward Rates," American Economic Review, American Economic Association, vol. 77(4), pages 680-92, September.
  14. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-69, July.
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