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

Author

Listed:
  • Georges Prat

    (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Remzi Uctum

    (EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Les anticipations de taux d'intérêt révélées par les enquêtes de Consensus Forecasts auprès d'experts sur le marché de l'Eurofranc ne vérifient pas l'hypothèse de rationalité. Elles résultent d'un processus mixte fondé sur une complémentarité entre les modèles anticipatifs traditionnels adaptatif, régressif et extrapolatif augmentés d'effets macroéconomiques (prix, revenu, monnaie). En utilisant une représentation espace-état dans le but de rendre compte de la part inobservable de l'actif long dans le portefeuille composé d'un actif long et d'un actif court, on montre que ces anticipations vérifient la relation de structure par terme de taux fondée sur un modèle de choix de portefeuille : (i) la prime de risque dépend de la variance du taux court et de la covariance entre ce dernier et l'inflation, (ii) les valeurs estimées du coefficient associé au spread de taux et du coefficient d'aversion sont conformes à la théorie. Toutefois, l'ajustement des taux de marché sur la relation d'équilibre de portefeuille ne s'effectue que progressivement, ce phénomène pouvant être attribué à l'existence de coûts de transaction.

Suggested Citation

  • Georges Prat & Remzi Uctum, 2007. "Anticipations, prime de risque et structure par terme des taux d'intérêt: une analyse des comportements d'experts," Post-Print halshs-00173105, HAL.
  • Handle: RePEc:hal:journl:halshs-00173105 Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00173105
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    References listed on IDEAS

    as
    1. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
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    More about this item

    Keywords

    Structure par terme des taux d'inrérêt; anticipations; prime de risque;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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