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The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?

Eric Jondeau () and Roland Ricart ()

Working papers from Banque de France

Abstract: In this paper, we evaluate the information content of the yield curve as regards future interest rates and inflation in France and Germany. An original data set of long-term zero-coupon interest rates for French and German government bonds was constructed for the period 1980-97. Empirical evidence shows that the German yield curve has a significant information content about the future average change in short-term rates and the future path of inflation. The information content of the French yield curve is much more limited and is only relevant for the average change in short-term rates. We show that the difference between the results obtained for both countries mainly stems from lower variability in German risk premia than in French risk premia.

Keywords: Term structure of interest rates; Information content (search for similar items in EconPapers)
JEL-codes: E43 (search for similar items in EconPapers)
Pages: 33 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:61

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