Contenu du sommaire : Economie des marché financiers

Économie des marchés financiers

• Présentation générale - Éric Girardin, Michel Boutillier, Sanvi Avouyi-Dovi p. 1-5
• Le contenu en information de la pente des taux : application au cas des titres publics français - Roland Ricart, Éric Jondeau p. 1-20
  The Information Content of the Term Structure: Application to French Government Bonds - by Eric Jondeau and Roland Ricart This paper evaluates the information content of the term structure for future growth in interest and inflation rates in France. A data set of zero-coupon yield curves on government bonds has been constructed for the 1 980- 1 995 period. The term structure's information content is generally very weak for this period. However, the 1985-1995 term structure proves to have a predictive quality for certain maturities. For example, the two-year rate term structures contain information on future changes in short-term rates, whereas the three-year rate term structures are weakly informative as to future changes in both short-term and long-term rates. The term structures (two years versus one year) to (five years versus one year) and (four years versus two years) are the most informative as to future changes in the inflation rate.
• Structure par terme des taux d'intérêt, volatilité et primes de risque : applications au marché de l'Eurolire - Roberto Violi, Francesco Drudi p. 21-34
  The Term Structure of Interest Rates, Volatility and Risk Premia : Applications to the Eurolira Market by Francesco Drudi and Roberto Violi This paper studies the information content of the term structure of interest rates on the Eurolira market. By estimating a single-factor equilibrium model of the term structure (Cox, Ingersoll and Ross, 1985), we derive measures of expectations, volatility and risk premia embodied in nominal interest rates and option prices. We provide econometric evidence indicating that Eurolira nominal interest rates display (near) unit-root behaviour. This property also extends to spreads between short and long rates. (Near) unit-roots have far-reaching implications as regards estimating parameters for factor models of the term structure. The quality of such estimates is crucial to measuring risk-premia and volatility and especially to assessing the empirical validity of the Expectations Hypothesis of the Term Structure (EHTS). Empirical tests suggest that the size and volatility of risk premia observed on the Eurolira market are substantial enough to warrant rejecting the EHTS.
• Modèles à seuil et relation de Fisher : une application à l'économie allemande - Jens Weidmann p. 35-44
  Threshold Models and the Fisher Effect : an Application to the German Economy by Jens Weidmann This paper reassesses the long-run relation between nominal interest rates and inflation using German data. It shows that the empirical rejection of the strict Fisher effect in previous studies can be attributed to the time-series behaviour of inflation and interest rates not accounted for by standard non-stationary models. It is argued that the stochastic process governing the bivariate system of inflation and interest rates depends on the level of the variables and should be modelled as a threshold cointégration model. This model can be given an economic interpretation in terms of the behaviour of a central bank adopting the opportunistic approach of disinflation. The full Fisher effect, even in its tax-adjusted form, cannot be rejected when a threshold model is estimated. The threshold cointégration model not only explains the downward bias of the coefficient estimates, but also the time-period and country sensitivity observed in previous studies.
• Spread corrigé des risques et dynamique du taux d'intérêt à long terme : une application aux marchés allemand, américain et italien - Gianluca Salsecci, Giovanna Paladino p. 45-62
  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.
• Changements structurels de la prime de risque et évaluation des marchés d'actions - Jean-Paul Nicolaï, Ch. Duval-Kieffer, Catherine Bruneau p. 63-76
  Changes in Structural Risk Premiums and Assessment of Stock Markets by Catherine Bruneau, Ch. Duval-Kieffer and Jean-Paul Nicola'i In this paper, we estimate a fundamental value of the S&P index, which we use as a long-run target in an error-correction modelling of the dynamics of the subsequent returns. The Gordon-Shapiro-based Present Value Model suggests two fundamentals: dividends and a discount rate factor, specified as a risk-free rate plus an ex-ante risk premium, modelled as successive structural breaks at predetermined dates assumed to affect agents' expectations. These breaks are introduced into the cointégration relationship as dummies to ensure the stationarity of the equilibrium deviation variable and the significance of the error correction term. Consequently, the prices observed only move temporarily away from their fundamental value. We use Monte-Carlo simulations to compute the relevant critical values for the stationarity tests. The dates of the breaks over the study period are then related to changes in the stock pricing process.
• Le rejet de l'hypothèse d'efficience variable dans le temps sur le marché des changes - Stefan Straetmans, Camiel de Koning p. 77-90
  Time Varying Forex Market Inefficiency by Camiel de Koning and Stefan Straetmans Researchers have gathered abundant empirical evidence on foreign exchange market inefficiency by regressing excess returns on lagged forward premia. However, few have studied coefficient instability and its consequences for market efficiency testing. We allow for endogenous changes in the parameters when estimating by using rolling regressions and a Kalman Filter algorithm. Time variation in the regression coefficients is found to be statistically significant. If the regression parameters have changed over time, estimation methods that assume constant parameters may be inappropriate. We argue that the observed time variation in the forward premium slope is so large that a negative OLS slope for the post-Bretton Woods sample is not improbable.
• Facteurs de risque communs sur les marchés internationaux d'actions, d'obligations et de changes - Olivier De Bandt p. 91-104
  Common Risk Factors on the International Stock, Bond and Exchange Markets by Olivier De Bandt This paper finds a «predictability» of yield spreads on the stock, bond and exchange markets in the United States, Japan, Germany and the United Kingdom for the 1980: 1-1994:5 period. Although this property is more significant on the bond and exchange markets than on the stock market, it can be used for a dynamic measurement of financial market integration. We find common risk factors among these three assets at national level. We moreover find a close international integration of the bond markets, which also feature common risk factors: the yield premium on the two different countries' bond markets and that on the exchange market are generally well represented by a model with two latent variables. Nevertheless, these relationships appear to be unstable over time.
• Coopération monétaire en Asie de l'Est : l'apport des tests de causalité et de la cointégration - David Martineau, Kiichiro Fukasaku p. 105-116
  Monetary Co-Operation in East Asia: Causality and Cointégration Tests by Kiichiro Fukasaku and David Martineau This paper studies the East Asian economies' monetary policies following the liberalisation of the monetary markets over the 1980-1995 period. We discuss conditions for monetary co-operation in this newly «free» monetary market. Causality tests and estimates of currency demand functions using the cointégration method show that the region's monetary markets have now attained a high level of integration. Lastly, we show that Singapore's monetary policy is a key to explaining the level of interest rates and the currency demand of neighbouring countries over this period.
• Composantes permanente et transitoire de l'épargne et de l'investissement : une étude empirique des flux internationaux de capitaux au Japon - Mark P. Taylor, Lucio Sarno, Éric Girardin p. 117-131
  Transitory and permanent components of saving and investment: an empirical study of international capital flows in Japan by Eric Girardin, Lucio Sarno and Mark P. Taylor This paper presents an empirical study of the difference between the short- and the long-run saving-investment correlation coefficient using quarterly Japanese data, in an attempt to shed light both on the Feldstein-Horioka regression's validity in quantifying the degree of international capital mobility and on its implications. We also empirically assess the effectiveness of the abolition of exchange controls, which removed all restrictions on capital flows between Japan and the international economy in 1980. Consistent with our economic intuition and the logical consequences of the Feldstein-Horioka interpretation, our results suggest that the short-run saving-investment association is significantly stronger than the corresponding long-run association and, in contrast with much of the relevant empirical literature, Japan appears to have been highly financially integrated into the global economy since 1980. pital flows ; transitory and permanent components ; Kalman filter.
• Crises financières, stratégie d'investissement dans les pays à risque, comportement des investisseurs - Patrick Artus p. 133-145
  Financial Crises, Investment Strategy in High-Risk Countries and Investor Behaviour by Patrick Artus We examine the dynamics of exchange-rate expectations, foreign exchange reserves and foreign investor assets in a country with a serious macroeconomic imbalance (excessive inflation) applying a fixed exchange-rate system. We use a model that generalises those used to study balance of payments crises. We compare the development of foreign investor assets over time and especially the dynamics of withdrawal from this high-risk country by both individual risk-averse investors and investment funds competing for market shares in financial savings. We consider whether investment funds withdraw from high-risk countries later and more suddenly than individual investors, which would correspond to the observed facts (e.g. the Mexican crisis).
• Le Franc français et la récente crise monétaire européenne - Cecilia Jona-Lasinio p. 147-159
  The French Franc and the Recent European Currency Crisis by Cecilia Jona-Lasinio The 1992 and 1993 currency crises demonstrated the enormous pressures that can be raised against official exchange rate parities when investors perceive that significant exchange rate realignments may be imminent. In this paper I propose an empirical analysis of the 1 992- 1 993 crises to establish whether speculators were able to perceive the exact timing of the devaluations and if and how the economic and political news influenced their devaluation expectations. In particular, I analyse the expected timing of devaluation of the French Franc relative to the Deutschemark before the 1 992 and 1 993 currency crisis. The empirical analysis shows that before the occurrence of both crisis agents were awareof the imminence of the devaluation and that they were very sensitive to the news spread daily over the markets.
• Une comparaison des prévisions des experts à celles issues des modèles B VAR - Auguste Mpacko Priso, Sandrine Lardic p. 161-180
  A Comparison of Expert Forecasts with BVAR Model Forecasts by Sandrine Lardic and Auguste Mpacko-Priso This paper checks whether economic and financial experts forecast macroeconomic and financial variables «better» than alternative techniques and in particular the Bayesian method. The BVAR methodology, presented in detail in Lardic and Mpacko-Priso (1996) and summarised in this paper, is used to generate six-month and twelve-month forecasts of the Consumer Price Index, Industrial Production Index, Standard and Poors 425, and Standard and Poors 500 for two samples. These forecasts are then compared with economic and financial expert predictions as well as with forecasts derived from traditional techniques for the same periods of time. Statistical and economic criteria are used to gauge the different forecasts. We show that the BVAR forecasts are generally better than the individual expert forecasts. We conclude that the BVAR methodology merits being used more than it is at present.