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Prévision bayésienne et structure par terme des taux d'intérêt

Author

Listed:
  • Christophe Bisière
  • Charles Lai Tong

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Anne Peguin-Feissolle

    (GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

Abstract

Cet article s'efforce d'approcher de manière originale les anticipations des agents concernant le taux long futur et sa volatilité, variables clés dans l'équation de détermination du taux long issue de la théorie des choix de portefeuille. D'une part, il est supposé que les agents forment leurs prévisions sur la base d'un modèle particulier, appelé modèle mental, qui représente l'idée qu'ils se font de la détermination du taux long. D'autre part, ces agents sont supposés bayésiens, au sens où ils forment leurs prévisions sur la base des moments des densités prédictives issues d'une procédure de révision bayésienne. Est également étudié le cas où les agents peuvent avoir plusieurs modèles mentaux concurrents et font alors une pondération des résultats issus de ces modèles. Après un rappel de la théorie de détermination des taux longs où l'on se situe, les principes de la méthode sont détaillés selon différents cas. Des résultats empiriques sont ensuite exposés sur des données américaines.

Suggested Citation

  • Christophe Bisière & Charles Lai Tong & Anne Peguin-Feissolle, 1990. "Prévision bayésienne et structure par terme des taux d'intérêt," Post-Print hal-00390216, HAL.
    • Handle: RePEc:hal:journl:hal-00390216
    DOI: 10.2307/3501791
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    References listed on IDEAS

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    Cited by:

    1. Franck Martin & Jiangxingyun Zhang, 2020. "La structure des taux revisitée pour période de crise : entre contagion, flight to quality et quantitative easing," Revue économique, Presses de Sciences-Po, vol. 71(4), pages 623-665.

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    Keywords

    Taux d'intérêt; Bayésien;

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