Contenu du sommaire

A GDP Forecast Using the Rate Curve: An Empirical Observation in Search of a Theory, by Eric Dubois and Didier Janci. For many countries, the deviation between short-term interest rates and long-term interest rates would appear to contain information concerning future economic growth. Several models provide a theoretical justification for such a relation, but none of them is totally satisfactory or empirically sound. These models are based either on the intertemporal smoothing of consumption or on the formation of expectations regarding agents' monetary policy, i.e. on the effects of monetary policy on economic activity, possibly via the banks' credit supply. In spite of the theoretical problems involved with finding a completely satisfactory justification for this, the relation is highly sound from an empirical point of view. French data thus show that the deviation between the three-month money rate and the ten-year bond rate definitely contains, one year in advance, original information on future economic growth in relation to a set of normally pertinent economic variables. Moreover, this information can be rounded out by the addition of some of these variables to construct an advanced and extremely high-quality activity indicator.

The Term-by-Term Structure of Interest Rates and Economic Recovery, by Patrick Artus and Moncef Kaabi. We examine the validity of the theory by which economic recovery is always preceded by an upturn in the term-by-term interest-rate structure curve. We study the data for the leading countries and compare them with information derived from a simple theoretical model, which introduces a number of possibilities for shocks leading to an increase in real activity.

Formation of Stock Market Expectations, by Georges Prat. This article analyzes how "experts" (businessmen, economists and bankers) form their expected changes in the industrial share price index. Expectations are measured by the "consensus" revealed by opinion polls made by J. Livingston in June and December of each year from 1956 to 1989. After showing that these expectations are not in line with the general rationality criteria, an analysis is made of the classic adaptive, extrapolative and regressive expectation processes (based on limited past information for the variable studied). Although each of the three basic processes is invalidated when considered separately, it is shown that approximately 40% of the expected share-price changes can be "explained" by "combining" these three processes in a LIERAM (Limited Information, Extrapolative, Regressive and Adaptive Model), whereas the figure rises to 95% for expected inflation when using the same LIERAM. These comparative results urge an examination of the hypothesis according to which experts' expectations are determined in the context of the share evaluation model (EM), which implicitly uses an expected value for share prices. The LIERAM and EM appear to be complementary, but together are only able to "explain" half of the stock market expectations.

Risk Management by Credit Establishments, by Jean Cordier, Pascal Jacquinot and Dominique Plihon. Over the last ten years, the banking environment has been extensively modified by the liberalization and modernization of the French financial system. Moreover, sharper economic and financial fluctuations have increased the risks faced by banks. In spite of this situation and the growing share taken by market operations, the fact remains that the financial structure of French banks is still largely dictated by a traditional banking intermediation logic. The customary context of the banking firm in monopolistic competition remains suitable for modelling this sector. It should, however, be enhanced to take account of active risk management by banks. In order to cover the risks generated by operations with their clientele, banks are notably driven to define their long-term resource issue policy in an endogenous manner while taking account of the relative costs. Furthermore, they are careful not to allocate an overly large share of their equity capital to share acquisitions.

Corporate Financial Policy and a Complete System of Factor Supply and Demand, by Camille Bronsard, Pierre Ouellette and Lise Salvas-Bronsard. This article presents a joint axiomatization of technology, expectations and contractual links between firms and their shareholders to draw a complete system of factor supply and demand including financial assets. This system is based on the temporary context using a suitable Hotelhng lemma. It is shown that equivalence relations exist between the characteristics of expectation functions, on the one hand, and the relation between the profit function and the net supply functions just as with the Modigliam-Miller theorem on the other hand. Keywords: temporary context, Hotelling lemma, Modigliani-Miller tneorum, complete system of factor supply and demand, real cash-flow effect.

Theoretical and Simulated Pseudo Maximum Likelihood Applied to Disequilibrium Models, by Riadh Ben Jelili, Salima Hamouche and Ferhat Mihoubi. This methodological note takes an example to explain the use of the theoretical and simulated pseudo maximum likelihood estimation method. This relatively flexible method can be applied to a wide range of static and dynamic non-linear models. It provides highly satisfactory estimates at a low calculation cost. Essentially non-linear disequilibrium models illustrate the value of such a procedure. Key Words: Pseudo maximum likelihood, simulation or Monte Carlo method, latent models, Kullback discriminant information, canonical disequilibrium models, lagged latent variables, micromarkets, labour market.