Anticipations, prime de risque et structure par terme des taux d'intérêt: une analyse des comportements d'experts
Georges Prat and
Remzi Uctum
Recherches économiques de Louvain, 2010, vol. 76, issue 2, 195-217
Abstract:
Using Consensus Economics? monthly surveys, we show that experts? interest rate expectations in the Eurofranc market do not verify the rational expectations hypothesis. 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 verifies the term structure relation of interest rates based on the portfolio choice model with a long term asset and a short term asset, where a state-space representation is introduced to account for the unobservable part of the long term asset in the portfolio. As predicted by the theoretical model, the risk premium depends on the conditional expected variance of the short term asset and on the conditional expected covariance between the latter and inflation, while the estimated value of the relative risk aversion coefficient is found to be economically acceptable. Overall, these results support that experts? expectations are consistent with the model of interest rate term structure. JEL Classification : D81, D84, E43
Keywords: term structure of interest rates; expectations; risk premium (search for similar items in EconPapers)
JEL-codes: D81 D84 E43 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (3)
Downloads: (external link)
http://www.cairn.info/load_pdf.php?ID_ARTICLE=REL_762_0195 (application/pdf)
http://www.cairn.info/revue-recherches-economiques ... -2010-2-page-195.htm (text/html)
free
Related works:
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) 
Working Paper: Anticipations, prime de risque et structure par terme des taux d'intérêt: une analyse des comportements d'experts (2006) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:cai:reldbu:rel_762_0195
Access Statistics for this article
More articles in Recherches économiques de Louvain from De Boeck Université
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().