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Le contrat notionnel : efficience et causalité

  • Bensaid, B.
  • Boutillier, M.

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.

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Paper provided by Banque de France in its series Working papers with number 44.

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Length: 36 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:bfr:banfra:44
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/
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  1. 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.
  2. 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.
  3. 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.
  4. Gerard Gennotte and Hayne Leland., 1989. "Market Liquidity, Hedging and Crashes," Research Program in Finance Working Papers RPF-192, University of California at Berkeley.
  5. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
  6. repec:fth:cadeco:1993-08-f is not listed on IDEAS
  7. 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.
  8. 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.
  9. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  11. 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.
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