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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

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  • Georges Prat

Abstract

[fre] Anticipations, prime de terme et maturité du titre long. Que nous enseignent les données séculaires sur la structure des taux d'intérêt ? Etats-Unis : 1873 à 1975. . Les données séculaires américaines tendent à s'accorder avec le modèle d'arbitrage pour expliquer la dynamique de la structure par termes des taux d'intérêt. Loin de se conformera l'hypothèse d'anticipations rationnelles, les anticipations du prix du titre long apparaissent de type adaptatif-régressif, et la volatilité passée de ce prix joue un grand rôle dans la détermination de la prime de terme représentative du risque de marché. D'autre part, la relation d'arbitrage ne semble être qu'un point d'équilibre variable vers lequel les cours convergent. Enfin, les résultats obtenus semblent aussi indiquer que la prise en compte du risque de défaut et des variations anticipées de l'encaisse réelle ouvrent des voies de recherche qui paraissent devoir être poursuivies. Ces résultats valent quelle que soit la maturité du titre long. [eng] The term structure of interest rates : expectations, the term premium, and the maturity of the long term bond wtth respect to secular US data. . Secular U.S. data (1873 - 1975) tend to valid the standard model of the term structure of interest rates when particular hypotheses on expectations and the term premium prevail, and when we suppose a partial adjustment mechanism between the term compartments of the bond market. Indeed, empirical results lead to the six following findings :. 1)Expectations included in the term structure of interest rates are not rational ; they rather appear to be conform to a regressive — adaptative process ;. 2)The arbitrage standard model seems to be more performant when it takes into account the risk of default ;. 3)Contrarily to the influence of the level of interest rate, the influence of past volatility of interest rate on the term premium is confirmed ;. 4)The arbitrage relation gives a time varying equilibrium point to which the market converges continuously ;. 5)The results are in accordance with the hypotheses that the expected rate of change in the real money supply acts on expectations in the long term bond priee and/or on the term premium ;. 6)When the maturity of the long term bond increases, bondholders seem to assign a decreasing weight to the expected return and an increasing weight to the volatility.

Suggested Citation

  • 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.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1992_num_43_6_409413
    DOI: 10.3406/reco.1992.409413
    Note: DOI:10.3406/reco.1992.409413
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    1. Abel Mayeyenda, 1997. "Détermination de la structure des taux d'intérêt : Une analyse empirique," Cahiers de recherche CREFE / CREFE Working Papers 49, CREFE, Université du Québec à Montréal.
    2. repec:hal:spmain:info:hdl:2441/5221 is not listed on IDEAS
    3. repec:spo:wpmain:info:hdl:2441/5221 is not listed on IDEAS

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