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Facteurs de risque communs sur les marchés internationaux d'actions, d'obligations et de changes

Listed author(s):
  • Olivier De Bandt

[eng] Common Risk Factors on the International Stock, Bond and Exchange Markets by Olivier De Bandt This paper finds a «predictability» of yield spreads on the stock, bond and exchange markets in the United States, Japan, Germany and the United Kingdom for the 1980: 1-1994:5 period. Although this property is more significant on the bond and exchange markets than on the stock market, it can be used for a dynamic measurement of financial market integration. We find common risk factors among these three assets at national level. We moreover find a close international integration of the bond markets, which also feature common risk factors: the yield premium on the two different countries' bond markets and that on the exchange market are generally well represented by a model with two latent variables. Nevertheless, these relationships appear to be unstable over time. [fre] Facteurs de risque communs sur les marchés internationaux d'actions, d'obligations et de changes par Olivier De Bandt L'article met en évidence une «prédictibilité» des écarts de rendement sur les marchés d'actions, d'obligations et de changes aux États-Unis, au Japon, en Allemagne et au Royaume-Uni sur la période 1980: 1-1994:5. Cette propriété, toutefois plus significative sur les marchés d'obligations et de changes que sur le marché des actions, est utilisée afin de mesurer, dans une perspective dynamique, l'intégration des marchés financiers. Il ressort qu'au niveau national, ces trois actifs répondent à des facteurs de risque communs. Il existe aussi, au niveau international, une forte intégration des marchés d'obligations, caractérisés, eux aussi, par des facteurs de risque communs : la prime de rendement sur le marché obligataire de deux pays différents et celle sur le marché des changes sont généralement bien représentées par un modèle à deux variables latentes. Il apparaît toutefois que ces relations sont instables dans le temps.

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

Volume (Year): 140 (1999)
Issue (Month): 4 ()
Pages: 91-104

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1999_num_140_4_5977
Note: DOI:10.3406/ecop.1999.5977
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