La théorie des anticipations de la structure par terme: test à partir de titres publics français

Eric Jondeau and Roland Ricart

Annals of Economics and Statistics, 1998, issue 52, 1-22

Abstract: This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Adopting the approach proposed by Campbell and Shiller [1991], we obtain ambiguous results, similar to the puzzle highlighted by these authors with US data. Analyzing stationarity of excess returns and error-correction models gives more details on these results: the expectations hypothesis is broadly accepted when holding returns are considered whereas it is systematically rejected for rollover returns.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1998:i:52:p:1-22

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