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Sur les taux d'intérêt en France

Listed author(s):
  • Mondher Cherif
Registered author(s):

    [eng] Economic theories indicate that long term interest rates correspond to the last and present short interest rates average. This result is a direct consequence of a refeering mechanism made by the financial markets operators, according to their own expectations. The expectation theory as a con- ventionnal explanation of the term structure of interest rates, asserts that short and long interest rates are cointegrated, the interest rates spread is stationnary, when the short and long interest rates contains a unit root. The present study aims at checking these theories match realities, in France and the other countries. [fre] La théorie économique suggère que les taux d'intérêt à long terme sont une moyenne des taux d'intérêt à court terme présents et passés. Ce résultat découle, directement d'un mécanisme d'arbitrage effectué par les agents économiques, en fonction de leurs propres anticipations. La théorie pure des anticipations, en tant qu'explication traditionnelle de la structure par échéances des taux d'intérêt, affirme le caractère cointégré d'ordre 1 des taux longs et courts, le différentiel de ces taux étant stationnaire, alors que les séries elles-mêmes contiennent une racine unitaire. C'est à la vérification de ces prédictions théoriques et à leur confrontation avec les faits en France et dans d'autres pays que se propose le présent travail.

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    Article provided by Programme National Persée in its journal Revue française d'économie.

    Volume (Year): 10 (1995)
    Issue (Month): 2 ()
    Pages: 187-209

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    Handle: RePEc:prs:rfreco:rfeco_0769-0479_1995_num_10_2_981
    Note: DOI:10.3406/rfeco.1995.981
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