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La structure des taux revisitée pour période de crise: entre contagion, ?ight to quality et Quantitative Easing

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  • Franck Martin

    (CREM, UMR CNRS 6211, Faculty of Economics, University of Rennes 1, France)

Abstract

Ce papier propose une extension à deux pays d’un modèle traditionnel de la structure par terme des taux d’intérêt. Le cadre analytique des choix de portefeuille fait jouer un rˆole essentiel aux anticipations de variances et covariances des rendements et taux obligataires, dans la détermination des taux longs d’équilibre sur les dettes souveraines. Plusieurs résul-tats signi?catifs émergent pour donner des éclairages nouveaux sur la dynamique des taux depuis le début de la crise de la dette en zone euro. Le scénario des investisseurs en termes de contagion ou de ?ight to quality trouve dans les mécanismes de choix de portefeuilles optimaux, qui sous-tendent la formation des taux, des e?ets qui sont plus de type ” auto-réalisateur ” que ” contrariant ”. Les nouvelles sur les ?nances publiques des états souverains en difficulté, comme les achats ou annonces d’achats d’obligations d’état par la BCE, ont un impact sur les taux des autres pays qui dépend crucialement du régime de covariance anticipé par les investisseurs. Devant l’incertitude sur ce régime de covariance, le programme de QE de la BCE doit être diversi?é et pas uniquement ciblé sur les pays en difficulté.

Suggested Citation

  • Franck Martin, 2016. "La structure des taux revisitée pour période de crise: entre contagion, ?ight to quality et Quantitative Easing," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2016-06, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
  • Handle: RePEc:tut:cremwp:2016-06
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    References listed on IDEAS

    as
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