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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

Listed author(s):
  • Nicolas Rautureau
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    [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

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    File URL: http://dx.doi.org/doi:10.3406/ecop.2004.7347
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    File URL: http://www.persee.fr/doc/ecop_0249-4744_2004_num_163_2_7347
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    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 163 (2004)
    Issue (Month): 2 ()
    Pages: 117-129

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_2004_num_163_2_7347
    Note: DOI:10.3406/ecop.2004.7347
    Contact details of provider: Web page: http://www.persee.fr/collection/ecop

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