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Coïntégration et structure par terme des taux d'intérêt

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  • Gilbert Colletaz
  • Jean-Pierre Gourlaouen

Abstract

[eng] Cointegration and term structure of interest rates . . In this paper we have applied some recent developments in statistics to the analysis of the french interest rates differencial. By means of cointegration techniques and a test procedure proposed by Campbell and Shiller making use of VAR representations, we have found that only small transitory deviations are present in the observed interest rates differential relative to the one which must prevail under the expectations theory and rational expectations hypothesis. [fre] Coïntégration et structure par terme des taux d'intérêt . . Dans cette recherche, nous appliquons des développements économétriques assez récents du différentiel taux court-taux long en France. A partir de tests coïntégration et en utilisant une procédure proposée par Campbell et Shiller faisant appel à l'estimation de processus VAR, nous concluons à l'existence de déviations seulement transitoires entre le différentiel observé et celui qu'impliqué la théorie des anticipations sous hypothèse de prévisions rationnelles.

Suggested Citation

  • Gilbert Colletaz & Jean-Pierre Gourlaouen, 1990. "Coïntégration et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(4), pages 687-712.
  • Handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_4_409231
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    Cited by:

    1. repec:adr:anecst:y:2001:i:62:p:07 is not listed on IDEAS
    2. 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.
    3. Raphaëlle Bellando & Anne Lavigne, 1992. "Taux d'intérêts débiteurs et créditeurs en Europe, une approche en termes de causalité," Revue Économique, Programme National Persée, vol. 43(2), pages 383-403.
    4. Bruno Ducoudre, 2008. "Structure par terme des taux d’intérêt et anticipations de la politique économique," Sciences Po publications info:hdl:2441/5221, Sciences Po.

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