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Prime de risque et effet ARCH

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  • Christophe Belhomme

Abstract

[eng] Risk premium and arch effect . . In this article, we estimate the expected short term interest rate from the term structure theory. Given the existence of a variable risk premium, two specifications are tested, based on the ARCH-M model. The first one estimates the excess returns with the ARCH-M model. In the second one, the premium is estimated directly in the equation defining the short term interest rate ; in that case the premium depends on past innovations on the short term interest rate. This second specification gives the best results with a significant risk premium. [fre] Prime de risque et effet ARCH. . Le but de cet article est d'extraire le taux court anticipé à partir de la théorie de la structure par terme des taux d'intérêt. L'existence d'une prime de risque variable étant acquise, deux méthodes de modélisation de la prime sont envisagées à partir du modèle ARCH in Mean. La première retient le modèle CAPM où l'excès de rendement anticipé dépend de sa variance ; celle-ci est estimée selon un processus ARCH. La deuxième méthode applique directement le modèle ARCH-M à l'équation définissant le taux court anticipé en fonction du taux à terme et de la prime de risque ; cette dernière est alors estimée à partir des erreurs d'anticipation sur le taux court. Les meilleurs résultats sont obtenus avec cette seconde méthode où une prime de risque significative apparaît dans l'équation de détermination du taux court.

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  • Christophe Belhomme, 1992. "Prime de risque et effet ARCH," Revue Économique, Programme National Persée, vol. 43(1), pages 55-70.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1992_num_43_1_409338
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    Cited by:

    1. Georges Prat, 1992. "Anticipations, prime de terme et maturité du titre long : que nous enseignent les données séculaires sur la structure des taux d'intérêt ? États-Unis de 1873 à 1975," Revue Économique, Programme National Persée, vol. 43(6), pages 1037-1070.
    2. Marie Podevin, 2001. "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Économie et Prévision, Programme National Persée, vol. 148(2), pages 49-70.

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