Joint research unit 7235

Anticipations, prime de risque et structure par terme des taux d’intérêt : une analyse des comportements d’experts

Georges Prat, Remzi Uctum

Using Consensus Forecasts monthly surveys, we show that experts’ interest rate expectations in the Eurofranc market do not verify the rational expectations hypothesis. Instead, these expectations are found to be generated by a mixed process combining the traditional adaptive, regressive and extrapolative processes augmented by macroeconomic effects (price, income, money). This mixed expectational process is shown to verify the term structure relation of interest rates based on the portfolio choice model, where a state-space representation is introduced to account for the unobservable part of the long term asset in the portfolio: (i) the risk premium depends on the variance of the short term asset and on the covariance between the latter and inflation, and (ii) the estimated values of the term structure parameter and of the risk aversion coefficient are in accordance with their theoretical values. Nevertheless, due to transaction costs, the adjustment of the market rates on the portfolio equilibrium relation occurs gradually.

AGENDA

Monday 26 February 2024

Colloques et Workshops

9ème conférence euro-africaine et économie / Mediterranean workshop in economic theory

Monday 26 February 2024

Colloques et Workshops

9ème conférence euro-africaine et économie / Mediterranean workshop in economic theory

Monday 26 February 2024

Domino Secessions : Evidence from the US

Jean Lacroix (U Paris Saclay, RITM)

Domino Secessions : Evidence from the US

Monday 26 February 2024

Law, Institutions and Economics in Nanterre (LIEN)

Jean Lacroix (U Paris Saclay, RITM)

Domino Secessions : Evidence from the US

Tuesday 27 February 2024

Colloques et Workshops

Harcèlement moral et sexuel dans la recherche

Tuesday 27 February 2024

Colloques et Workshops

Harcèlement moral et sexuel dans la recherche

Thursday 29 February 2024

Thomas Jacquet, Amady Léchenet, Albin Salmon, Benjamin Trouvé

Nouveaux Doctorants II

Thomas Jacquet, Amady Léchenet, Albin Salmon, Benjamin Trouvé

Thursday 29 February 2024

Lunch

Nouveaux Doctorants II

Thomas Jacquet, Amady Léchenet, Albin Salmon, Benjamin Trouvé

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