Le contenu en information de la pente des taux: application au cas des titres publics fran ais

Eric Jondeau and Roland Ricart ()

Working papers from Banque de France

Abstract: This paper evaluates the information content of the term structure about future changes in interest rates and changes in inflation rate, in France. A data set has been constructed, which contains zero-coupon yield curves on government bonds over the period 1980-95. The information content is generally very weak over the whole period. On the contrary, over the period 1985-95, the term structure contains information for certain maturities. On the one hand, spreads vis- -vis 2-year rates are informative for future changes in short-term rates, whereas spreads vis- -vis 3-year rates are informative for both future changes in short-term rates and future changes in long-term rates; on the second hand, the spreads from (2- versus 1-year rates) to (5- versus 1-year rates) and (4- versus 2-year rates) are the most informative for future changes in inflation rate.

Keywords: Term structure of interest rates; Expectations hypothesis; Fisher relation; Information Content. (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Pages: 30 pages
Date: 1997
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Citations: View citations in EconPapers (4)

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Journal Article: Le contenu en information de la pente des taux: application au cas des titres publics français (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:43

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