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La théorie des anticipations de la structure par terme : test à partir des titres publics français

  • Jondeau, E.
  • Ricart, R.

This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Standard tests (based on the relationships between the change in the long-term rate and the spread and between the change in the short-term rate and the spread) lead to a puzzle close to the one obtained by Campbell and Shiller (1991) using US data. An approach based on stationarity of excess returns and error-correction models gives more details on these results: the expectations hypothesis is widely accepted when holding return is considered whereas it is systematically rejected when rollover return is considered.

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Paper provided by Banque de France in its series Working papers with number 45.

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Length: 20 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:bfr:banfra:45
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