IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Prévision bayésienne et structure par terme des taux d'intérêt

  • Anne Peguin-Feissolle
  • Charles Lai Tong
  • Christophe Bisière

[fre] Prévision bayésienne et structure par terme des taux d'intérêt. . Cet article s'efforce d'approcher de manière originale les anticipations des agents concernant le taux long futur et sa volatilité, variables clés dans l'équation de détermination du taux long issue de la théorie des choix de portefeuille. D'une part, il est supposé que les agents forment leurs prévisions sur la base d'un modèle particulier, appelé modèle mental, qui représente l'idée qu'ils se font de la détermination du taux long. D'autre part, ces agents sont supposés bayésiens, au sens où ils forment leurs prévisions sur la base des moments des densités prédictives issues d'une procédure de révision bayésienne. Est également étudié le cas où les agents peuvent avoir plusieurs modèles mentaux concurrents et font alors une pondération des résultats issus de ces modèles. Après un rappel de la théorie de détermination des taux longs où l'on se situe, les principes de la méthode sont détaillés selon différents cas. Des résultats empiriques sont ensuite exposés sur des données américaines. [eng] B ayesian forecasting and the term structure of interest rates. . This paper tries to approach in an original manner the way agents form their expectations about the future long term interest rate and its volatility — in the theory of portfolio choice, these two variables are central in the determination of the long term rate. First, we suppose that agents form their forecasts using a particular model, which we call a mental model, representing their opinion about the determination of the long term rate. Then, these agents are supposed to behave like bayesians, that is they form their forecasts using predictive moments generated by a bayesian revision procedure. We also present the case in which the agents can consider several alternative mental models and then weigh the results issued from these models. After recalling the theory of the determination of the long term rate which we shall be using, the principles of our methodology are then exposed under different cases. Finally, we present some empirical results using U.S. data.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.persee.fr/web/revues/home/prescript/article/reco_0035-2764_1990_num_41_5_409240
Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/

File URL: http://www.persee.fr/articleAsPDF/reco_0035-2764_1990_num_41_5_409240/reco_0035-2764_1990_num_41_5_409240.pdf?mode=light
Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 41 (1990)
Issue (Month): 5 ()
Pages: 817-838

as
in new window

Handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_5_409240
Note: DOI:10.2307/3501791
Contact details of provider: Web page: http://www.persee.fr/web/revues/home/prescript/revue/reco

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_5_409240. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.