| Titre | Spread corrigé des risques et dynamique du taux d'intérêt à long terme : une application aux marchés allemand, américain et italien | |
|---|---|---|
| Auteur | Gianluca Salsecci, Giovanna Paladino | |
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Revue | Economie et prévision |
| Numéro | no 140-141, 1999/4-5 Economie des marché financiers | |
| Rubrique / Thématique | Économie des marchés financiers |
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| Page | 45-62 | |
| Résumé anglais |
The Risk-Modified Spread in Modelling the Dynamics of the Long-Term interest Rate : an
Application to the German, American and Italian Markets
by Giovanna Paladino and Gianluca Salsecci
Preliminary unit-root tests on a sample of US, German and Italian monthly data indicate that the spreads between the ten-year and one-month interest rates are not stationary. This result is inconsistent with the pure expectations hypothesis. However, it may be consistent with the Tenri/Risk Premium hypothesis in a context of rational but risk-adverse agents. After specifying the term/risk premium as a function of a selected number of economic policy variables, the risk-modified spread (RMS) is introduced to explain the long-rate dynamics. In the multivariate cointégration approach developed by Johansen (1988), the RMS model is found to have a higher explicative and predictive power than both the pure expectations and random walk hypotheses. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1999_num_140_4_5974 |
