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Prévision bayésienne et structure par terme des taux d'intérêt

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

[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.

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

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

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Handle: RePEc:prs:reveco:reco_0035-2764_1990_num_41_5_409240
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  1. Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983. "Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates," Cowles Foundation Discussion Papers 667, Cowles Foundation for Research in Economics, Yale University.
  2. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-68, July.
  3. Bray, Margaret M & Savin, Nathan E, 1986. "Rational Expectations Equilibria, Learning, and Model Specification," Econometrica, Econometric Society, vol. 54(5), pages 1129-60, September.
  4. Benjamin M. Friedman & V. Vance Roley, 1985. "Aspects of Investor Behavior Under Risk," NBER Working Papers 1611, National Bureau of Economic Research, Inc.
  5. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-99, September.
  6. Blume, L. E. & Bray, M. M. & Easley, D., 1982. "Introduction to the stability of rational expectations equilibrium," Journal of Economic Theory, Elsevier, vol. 26(2), pages 313-317, April.
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