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

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  • Francesco Drudi
  • Roberto Violi

Abstract

[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. [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.

Suggested Citation

  • Francesco Drudi & Roberto Violi, 1999. "Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire," Économie et Prévision, Programme National Persée, vol. 140(4), pages 21-34.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5972
    Note: DOI:10.3406/ecop.1999.5972
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    References listed on IDEAS

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