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Les taux d'intérêt observés sur le marché monétaire sont-ils trop volatils ?

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  • Gilbert Colletaz

Abstract

[eng] Do French money market interest rates move too much ? Test of the rational expectations model of the term structure of interest rates. . This paper, using an unbiaised test proposed by Mankiw, Romer and Shapiro investigates the (joint) hypothesis of rational expectations, expectations model of the term structure of interest rates and constancy of risk premia. Even after a modification of the original procedure which favors the rejection of the null hypothesis, excess volatility is not revealed for the short term (3 and 6 months) rates. In contrast, the long term (1 to 5 years) rates observed in the french money market appear to exceed limits imposed by the model. [fre] Les taux d'intérêt observés sur le marché monétaire sont-ils trop volatils ? Un test de la rationalité des prévisions dans le cadre de la théorie des anticipations de la structure par échéance. . Dans cette recherche, nous utilisons un test non biaisé proposé par Mankiw, Romer et Shapiro de l'hypothèse jointe d'anticipations rationnelles, de la théorie des anticipations de la structure par échéances des taux d'intérêt et de la constance des primes de risque. Même après une modification de la procédure initiale favorisant le rejet de l'hypothèse nulle, aucun excès de volatilité n'est mis en évidence en ce qui concerne les taux courts (trois et six mois). En revanche, les taux à plus longue échéance (un à cinq ans) observés sur le marché monétaire français semblent soumis à des fluctuations dépassant les limites autorisées par le modèle.

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  • Gilbert Colletaz, 1987. "Les taux d'intérêt observés sur le marché monétaire sont-ils trop volatils ?," Revue Économique, Programme National Persée, vol. 38(4), pages 837-852.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1987_num_38_4_409004
    DOI: 10.3406/reco.1987.409004
    Note: DOI:10.3406/reco.1987.409004
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    1. Gilbert Colletaz & Jean-Pierre Gourlaouen, 1990. "Coïntégration et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(4), pages 687-712.

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