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La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles

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  • Jondeau, E.
  • Sedillot, F.

Abstract

Nous développons dans ce papier un modèle de prévision des taux longs fondé sur les hypothèses d'absence d'opportunité d'arbitrage et de rtionalité des agents. Le taux long est représenté comme une moyenne des taux courts anticipés. Ceux-ci sont modélisés à partir de trois formulations : deux modèles univariés (stationnaire ou non-stationnaire) et un modèle dans lequel la cible de long terme dépend des anticipations des marchés. Ces approches sont appliquées aux données françaises et allemandes, sur la période 1960-96. Nous trouvons que, pour un horizon assez court, le meilleur ajustement est obtenu à partir des anticipations des marchés.

Suggested Citation

  • Jondeau, E. & Sedillot, F., 1998. "La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles," Working papers 55, Banque de France.
    • Handle: RePEc:bfr:banfra:55
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    More about this item

    Keywords

    Taux d’intérêt;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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