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Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France

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  • Nicolas Rautureau

Abstract

[eng] Regime-Switching Models and Test of the Expectations Theory of the Term Structure of Interest Rates in France by Nicolas Rautureau . Empirical studies of long-term interest rate behavior using the Campbell-Shiller (1987 ) methodology generally observe spread overreaction compared with the movements implied by the expectations theory of the term structure of interest rates , especially for the United States . However , this finding is based on a particular specification of short-term interest rate behavior . This paper addresses two questions . First of all , we look at whether the use of a Markov switching VAR model improves the acceptance of the theory for France by taking into account any regime shifts in the stochastic process followed by the vector autoregression . We then study the effect of macroeconomic factors on the division of the period between the two states . We find that Markov chain models improve the statistical acceptance of the expectations theory and identify the effect of the French franc-deutschmark exchange rate on the empirical findings . [fre] L'étude empirique de la dynamique du taux d ’ intérêt de long terme , par l ’ intermédiaire de la méthodologie développée par Campbell et Shiller (1987 ), a conduit le plus souvent à observer une sur-réaction du spread observé par rapport à l ’ évolution prédite par la théorie des anticipations rationnelles , en particulier pour les États-Unis . Cependant , ce résultat repose sur une spécification particulière du comportement du taux d ’ intérêt de court terme . Nous poursuivons ici un double objectif . Tout d ’ abord , nous cherchons à savoir si l ’ utilisation des modèles à chaîne de Markov , par la prise en compte d ’ éventuels changements de régime au niveau du processus stochastique suivi par le vecteur autorégressif , permet une meilleure validation de la théorie pour la France . Nous analysons ensuite l ’ importance de l ’ attitude des facteurs macroéconomiques sur le découpage produit par ces modèles . L ’ utilisation d ’ un VAR à chaîne de Markov permet , d ’ une part , d ’ obtenir une meilleure validation statistique de la théorie des anticipations et , d ’ autre part , de souligner l ’ influence du taux de change entre le franc et le deutschemark sur les résultats obtenus

Suggested Citation

  • 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.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2004_num_163_2_7347
    DOI: 10.3406/ecop.2004.7347
    Note: DOI:10.3406/ecop.2004.7347
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    References listed on IDEAS

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