Le contrat notionnel : efficience et causalité
The main topic of this paper is about the overall functionnning of the french futures bonds market. Three mains questions are asked: (1) Is the futures market inefficient? (2) Is there any free lunch between the future market and the spot market? (3) Does one of these markets play a leader role? Econometric tests give globally an negative answer to all these three questions. The arbitrage's opportunities which have been detected in the period 86.12-90.06 can be explained by the restrictions to sell-short bonds in the french cash market. The two tests on the rationality of the expectations which have been undertaken (a time series test and a panel data test) yield the same conclusion : one cannot reject the assumption that the market is efficient. Finally, tests of causality between the future market and the cash market on daily data shows strong instantaneous correlation between them. Concerning delayed causality, the future market have played a leader role during the period 90.01-93.06 during which one has observed an overall stability of the futures prices.
|Date of creation:||1997|
|Date of revision:|
|Contact details of provider:|| Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS|
Web page: http://www.banque-france.fr/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gerard Gennotte and Hayne Leland., 1989.
"Market Liquidity, Hedging and Crashes,"
Research Program in Finance Working Papers
RPF-192, University of California at Berkeley.
- Kawai, Masahiro, 1983. "Price Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(2), pages 435-59, June.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Avouyi-Dovi, S. & Lai-Tong, C. & Salomon, R., 1993. "Analyse Statistique du Matif," Papers 1993-08-f, Caisse des Depots et Consignations - Cahiers de recherche.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Engle, Robert F & Granger, Clive W J, 1987.
"Co-integration and Error Correction: Representation, Estimation, and Testing,"
Econometric Society, vol. 55(2), pages 251-76, March.
- Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- Newbery, David M, 1987. "When Do Futures Destabilize Spot Prices?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 291-97, June.
- Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
When requesting a correction, please mention this item's handle: RePEc:bfr:banfra:44. 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: (Michael brassart)
If references are entirely missing, you can add them using this form.