IDEAS home Printed from https://ideas.repec.org/a/prs/reveco/reco_0035-2764_1973_num_24_3_408093.html
   My bibliography  Save this article

Sur les taux d'intérêt en France

Author

Listed:
  • Jean-Michel Grandmont
  • Gérard Neel

Abstract

[fre] Sur les taux d'interêt en France. . Les auteurs étudient dans cet article la structure des taux d'intérêt en France et montrent que la théorie de 1' « habitat préféré » de F. Modigliani et R. Sutch donne de bons résultats. Le taux long des obligations est d'autre part expliqué de manière satisfaisante par les taux de croissance courant et passés de la production industrielle et des prix. Il est finalement montré que l'inflation entraîne dans le long terme une baisse importante du taux long réel. Les données sont trimestrielles et couvrent la période 1960 I-1971 IV. [eng] About 1nterest rates in France. . In this paper, the authors study the term structure of intetest rates in France and show that F. Modigliani and R. Sutch's theory of preferred habitat fit s well French data. On the other hand, the long rate on bonds is well explained by current and past rates of growth of industrial output and of prices. Finally, it is shown that, in the long run, inflation leads to a substantial decrease of the real long rate. Datas used are quarterly figures covering 1960 I -1971 IV.

Suggested Citation

  • Jean-Michel Grandmont & Gérard Neel, 1973. "Sur les taux d'intérêt en France," Revue Économique, Programme National Persée, vol. 24(3), pages 460-472.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1973_num_24_3_408093
    DOI: 10.3406/reco.1973.408093
    Note: DOI:10.3406/reco.1973.408093
    as

    Download full text from publisher

    File URL: https://doi.org/10.3406/reco.1973.408093
    Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/
    File URL: https://www.persee.fr/doc/reco_0035-2764_1973_num_24_3_408093
    Download Restriction: Data and metadata provided by Persée are licensed under a Creative Commons "Attribution-Noncommercial-Share Alike 3.0" License http://creativecommons.org/licenses/by-nc-sa/3.0/
    File URL: https://libkey.io/10.3406/reco.1973.408093?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. William E. Gibson, 1970. "The Lag in the Effect of Monetary Policy on Income and Interest Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 84(2), pages 288-300.
    2. Gibson, William E, 1970. "Price Expectations Effects on Interest Rates," Journal of Finance, American Finance Association, vol. 25(1), pages 19-34, March.
    3. Hamburger, Michael J & Latta, Cynthia M, 1969. "The Term Structure of Interest Rates: Some Additional Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 71-83, February.
    4. Thomas J. Sargent, 1969. "Commodity Price Expectations and the Interest Rate," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 83(1), pages 127-140.
    5. Gibson, William E, 1970. "Interest Rates and Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 78(3), pages 431-455, May-June.
    6. Modigliani, Franco & Sutch, Richard, 1969. "The Term Structure of Interest Rates: A Re-examination of the Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 112-120, February.
    7. Kane, Edward J, 1970. "The Term Structure of Interest Rates: An Attempt to Reconcile Teaching with Practice," Journal of Finance, American Finance Association, vol. 25(2), pages 361-374, May.
    8. Cagan, Phillip & Gandolfi, Arthur, 1969. "The Lag in Monetary Policy as Implied by the Time Pattern of Monetary Effects on Interest Rates," American Economic Review, American Economic Association, vol. 59(2), pages 277-284, May.
    9. R. E. Hall, 1967. "Polynomial Distributed Lags," Working papers 7, Massachusetts Institute of Technology (MIT), Department of Economics.
    10. Pierson, Gail, 1970. "Effect of Economic Policy on the Term Structure of Interest Rates," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 1-11, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Daniel L. Thornton, 2007. "The daily and policy-relevant liquidity effects," Working Papers 2007-001, Federal Reserve Bank of St. Louis.
    2. Tarhan, Vefa, 1995. "Does the federal reserve affect asset prices?," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1199-1222.
    3. Benjamin Kim & Noor Ghazali, 1998. "The Liquidity Effect of Money Shocks on Short-Term Interest Rates: Some International Evidence," International Economic Journal, Taylor & Francis Journals, vol. 12(4), pages 49-63.
    4. Leeper, Eric M. & Gordon, David B., 1992. "In search of the liquidity effect," Journal of Monetary Economics, Elsevier, vol. 29(3), pages 341-369, June.
    5. Ariff, Mohamed & Chung, Tin-fah & M., Shamsher, 2012. "Money supply, interest rate, liquidity and share prices: A test of their linkage," Global Finance Journal, Elsevier, vol. 23(3), pages 202-220.
    6. Lastrapes, William D. & Selgin, George, 1995. "The liquidity effect: Identifying short-run interest rate dynamics using long-run restrictions," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 387-404.
    7. Pradeep Ganguly, 1980. "The Effect of Government Debt on Interest Rates," The American Economist, Sage Publications, vol. 24(1), pages 52-56, March.
    8. M. A. Akhtar, 1995. "Monetary Policy And Long‐Term Interest Rates: A Survey Of Empirical Literature," Contemporary Economic Policy, Western Economic Association International, vol. 13(3), pages 110-130, July.
    9. Lekha S. Chakraborty, 2012. "Interest Rate Determination in India: Empirical Evidence on Fiscal Deficit--Interest Rate Linkages and Financial Crowding Out," Economics Working Paper Archive wp_744, Levy Economics Institute.
    10. Yash P. Mehra, 1985. "Inflationary expectations, money growth, and the vanishing liquidity effect of money on interest : a further investigation," Economic Review, Federal Reserve Bank of Richmond, vol. 71(Mar), pages 23-35.
    11. John H. Wood, 1981. "Interest rates and inflation," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 5(May), pages 3-12.
    12. Arusha Cooray, 2002. "Interest Rates and Inflationary Expectations: Evidence on the Fisher Effect in Sri Lanka," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 3(2), pages 201-216, September.
    13. Benjamin M. Friedman, 1978. "Price Inflation, Portfolio Choice, and Nominal Interest Rates," NBER Working Papers 0235, National Bureau of Economic Research, Inc.
    14. Carr, Jack & Darby, Michael R., 1981. "The role of money supply shocks in the short-run demand for money," Journal of Monetary Economics, Elsevier, vol. 8(2), pages 183-199.
    15. Martin Ruzima & Micheal Kofi Boachie & Tatjana Põlajeva & Abdul-Aziz Iddrisu, 2023. "Does the Fisher effect hold in Rwanda?," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2657-2672, June.
    16. Shen, Chung-Hua & Chiang, Thomas Chi-Nan, 1999. "Retrieving the vanishing liquidity effect--a threshold vector autoregressive model," Journal of Economics and Business, Elsevier, vol. 51(3), pages 259-277, May.
    17. James Payne & Bradley Ewing, 1997. "Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 683-687.
    18. Thomas Delcey & Francesco Sergi, 2019. "The Efficient Market Hypothesis and Rational Expectations. How Did They Meet and Live (Happily?) Ever After," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02187362, HAL.
    19. Chakraborty, Lekha, 2012. "Determination of Interest Rate in India: Empirical Evidence on Fiscal Deficit-Interest Links and Financial Crowding Out," Working Papers 12/110, National Institute of Public Finance and Policy.
    20. Ryba, André, 1976. "La politique monétaire aux États-Unis, par l’O.C.D.E. Série « Études monétaires ». O.C.D.E., Paris, 1974," L'Actualité Economique, Société Canadienne de Science Economique, vol. 52(1), pages 137-142, janvier.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:reveco:reco_0035-2764_1973_num_24_3_408093. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Equipe PERSEE (email available below). General contact details of provider: https://www.persee.fr/collection/reco .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.