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Le contenu en information de la pente des taux : application au cas des titres publics français

Author

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  • Jondeau, E.
  • Ricart, R.

Abstract

This paper evaluates the information content of the term structure about future changes in interest rates and changes in inflation rate, in France. A data set has been constructed, which contains zero-coupon yield curves on government bonds over the period 1980-95. The information content is generally very weak over the whole period. On the contrary, over the period 1985-95, the term structure contains information for certain maturities. On the one hand, spreads vis-à-vis 2-year rates are informative for future changes in short-term rates, whereas spreads vis-à-vis 3-year rates are informative for both future changes in short-term rates and future changes in long-term rates; on the second hand, the spreads from (2- versus 1-year rates) to (5- versus 1-year rates) and (4- versus 2-year rates) are the most informative for future changes in inflation rate.

Suggested Citation

  • Jondeau, E. & Ricart, R., 1997. "Le contenu en information de la pente des taux : application au cas des titres publics français," Working papers 43, Banque de France.
    • Handle: RePEc:bfr:banfra:43
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    Cited by:

    1. 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.
    2. Rossi, Giovanni, 2004. "Euro Weakness in the Late Nineties," MPRA Paper 90272, University Library of Munich, Germany.
    3. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
    4. Éric Jondeau & Roland Ricart, 1998. "La théorie des anticipations de la structure par terme : test à partir de titres publics français," Annals of Economics and Statistics, GENES, issue 52, pages 1-22.
    5. Jondeau, E. & Sedillot, F., 1998. "La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles," Working papers 55, Banque de France.
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    More about this item

    Keywords

    Term structure of interest rates ; Expectations hypothesis ; Fisher relation ; Information Content.;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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