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Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts

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  • Georges Prat
  • Remzi Uctum

Abstract

Using Consensus Forecasts monthly surveys, we show that experts' interest rate expectations in the Eurofranc market do not verify the rational expectations hypothesis. Instead, these expectations are found to be generated by a mixed process combining the traditional adaptive, regressive and extrapolative processes augmented by macroeconomic effects (price, income, money). This mixed expectational process is shown to verify the term structure relation of interest rates based on the portfolio choice model, where a state-space representation is introduced to account for the unobservable part of the long term asset in the portfolio: (i) the risk premium depends on the variance of the short term asset and on the covariance between the latter and inflation, and (ii) the estimated values of the term structure parameter and of the risk aversion coefficient are in accordance with their theoretical values. Nevertheless, due to transaction costs, the adjustment of the market rates on the portfolio equilibrium relation occurs gradually.

Suggested Citation

  • Georges Prat & Remzi Uctum, 2006. "Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts," EconomiX Working Papers 2006-11, University of Paris Nanterre, EconomiX.
  • Handle: RePEc:drm:wpaper:2006-11
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    References listed on IDEAS

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    1. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    2. F. A. Lutz, 1940. "The Structure of Interest Rates," The Quarterly Journal of Economics, Oxford University Press, vol. 55(1), pages 36-63.
    3. Froot, Kenneth A, 1989. " New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(2), pages 283-305, June.
    4. Roley, V Vance, 1981. "The Determinants of the Treasury Security Yield Curve," Journal of Finance, American Finance Association, vol. 36(5), pages 1103-1126, December.
    5. Gerlach, Stefan & Smets, Frank, 1997. "The term structure of Euro-rates: some evidence in support of the expectations hypothesis," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 305-321, April.
    6. Dobson, Steven W & Sutch, Richard C & Vanderford, David E, 1976. "An Evaluation of Alternative Empirical Models of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 31(4), pages 1035-1065, September.
    7. Feige, Edgar L & Pearce, Douglas K, 1976. "Economically Rational Expectations: Are Innovations in the Rate of Inflation Independent of Innovations in Measures of Monetary and Fiscal Policy?," Journal of Political Economy, University of Chicago Press, vol. 84(3), pages 499-522, June.
    8. Roll, Richard, 1971. "Investment Diversification and Bond Maturity," Journal of Finance, American Finance Association, vol. 26(1), pages 51-66, March.
    9. Georges Prat & François Gardes, 2000. "Price expectations in goods and financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00172996, HAL.
    10. Thomas J. Sargent, 1969. "Commodity Price Expectations and the Interest Rate," The Quarterly Journal of Economics, Oxford University Press, vol. 83(1), pages 127-140.
    11. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
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    More about this item

    Keywords

    Term structure of interest rates; expectations; risk premium.;

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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