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La mesure du ratio rendement-risque a partir du marche des euro-devises

Listed author(s):
  • Jondeau, E.

Nous etudions dans ce papier la relation entre le rendement et le risque pour les marches de taux sur l'euro-dollar, l'euro-mark et l'euro-franc, de 1975 à 1997. Nous testons la relation entre l'exces de rendement de portage et la volatilite a partir d'une modelisation ARCH-in-Mean. Nous trouvons tout d'abord que la variance conditionnelle évolue selon une dynamique non-stationnaire, qu'il n'existe pas d'effets d'asymetrie des chocs de rendement sur la variance et que la distribution conditionnelle la plus adaptee est la loi de Student pour l'euro-dollar et la GED pour l'euro-mark et l'euro-franc. Nous obtenons alors que la meilleure relation entre l'exces de rendement et le risque est obtenue lorsque le risque est represente par le logarithme de la volatilite pour les trois marches. Finalement, les estimations du ratio rendement-risque sont plus faibles que celles obtenues a partir des rendements boursiers, mais du meme ordre que celles issues des rendements monetaires et obligataires.

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Paper provided by Banque de France in its series Working papers with number 59.

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Length: 34 pages
Date of creation: 1999
Handle: RePEc:bfr:banfra:59
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Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS

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