La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?

Eric Jondeau

Annals of Economics and Statistics, 2001, issue 62, 139-174

Abstract: In this paper, I measure the ability of the expectations hypothesis (EH) to explain Euro-rate movements, in a restricted VAR framework. Several tests of the EH are performed. Some methodological issues in the design of these tests are addressed. Over the period 1982-1997, the EH is not rejected by the data for French and UK Euro-rates, but it is generally rejected for US and German Euro-rates. Comparing the actual spread with the theoretical spread, I find evidence that this rejection can be mainly explained by an over-reaction of long-term rates to expected changes in short-term rates.

Date: 2001
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