La th orie des anticipations de la structure par terme: test partir des titres publics fran ais

Eric Jondeau and Roland Ricart ()

Working papers from Banque de France

Abstract: This paper focuses on the expectations hypothesis of the term structure on long-term government bonds. Standard tests (based on the relationships between the change in the long-term rate and the spread and between the change in the short-term rate and the spread) lead to a puzzle close to the one obtained by Campbell and Shiller (1991) using US data. An approach based on stationarity of excess returns and error-correction models gives more details on these results: the expectations hypothesis is widely accepted when holding return is considered whereas it is systematically rejected when rollover return is considered.

Keywords: Term structure of interest rates; Expectations hypothesis; Cointegration; Error-correction model. (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Pages: 20 pages
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... ng-paper_45_1997.pdf (application/pdf)

Related works:
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:bfr:banfra:45

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().