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

Georges Prat and Remzi Uctum

No 2006-11, EconomiX Working Papers from University of Paris Nanterre, EconomiX

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.

Keywords: Term structure of interest rates; expectations; risk premium. (search for similar items in EconPapers)
JEL-codes: D84 E44 G14 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2006
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Anticipations, prime de risque et structure par terme des taux d'intérêt: une analyse des comportements d'experts (2010)
Working Paper: Anticipations, prime de risque et structure par terme des taux d’intérêt: une analyse des comportements d’experts (2010)
Working Paper: Anticipations, prime de risque et structure par terme des taux d'intérêt: une analyse des comportements d'experts (2007)
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