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dc.contributor.authorTopeglo, Kokou
dc.contributor.authorBrière, Marie
dc.contributor.authorSignori, Ombretta
dc.date.accessioned2012-01-03T11:04:37Z
dc.date.available2012-01-03T11:04:37Z
dc.date.issued2008-02
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7817
dc.description.abstractfrEntre 2004 et 2006, alors que la banque centrale américaine a augmenté ses taux directeurs à chaque meeting, les taux longs sont restés étonnamment stables, au point d'être qualifiés d'« énigme » par A. Greenspan. Nous comparons le niveau des taux longs à leur niveau théorique déterminé grâce à un modèle fondamental, et montrons que l'anomalie a été en moyenne de 40 bp. Deux types d'explications ont été invoqués: le changement d'attitude des investisseurs vis-à-vis du risque, et l'intensification des flux d'achat de Bons du Trésor. Nous montrons que si ces variables peuvent en théorie être responsables du déclin de la prime de risque obligataire, elles expliquent en pratique moins de la moitié de l'anomalie. Leur influence croissante justifie cependant d'en tenir compte pour une analyse prospective des taux longs.en
dc.language.isoenen
dc.subjectCentral banks and bankingen
dc.subjectinterest ratesen
dc.subjectcapitalists and financiersen
dc.subjectrisks premiumsen
dc.subjectBond marketen
dc.subjectMoney marketen
dc.subject.ddc332en
dc.subject.classificationjelE58en
dc.subject.classificationjelG24en
dc.subject.classificationjelG21en
dc.subject.classificationjelG15en
dc.titleBond market "conundrum" : new factors to explain long-term interest rates ?en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenInterest rates behaved highly atypically from 2004 to 2006. While the US central bank raised its policy rate at every meeting, long-term interest rates remained so remarkably stable that former Fed Chairman Alan Greenspan described their behaviour as a "conundrum". Comparing long-term rates to their theoretical level based on fundamental valuation models, we show that the anomaly was on average 40 bps. Various explanations have been put forward for this, including investors' changed attitude to risk, and the rise in US Treasury purchases by different categories of buyers. We show that, while these variables could theoretically be responsible for the decline in bond risk premiums, they explain less than half of the anomaly when incorporated into a fundamental model of bond yields. However, their recent changing influence could justify their being used for a prospective analysis of bond yields.en
dc.relation.isversionofjnlnameBanque & marchés
dc.relation.isversionofjnlvol8en
dc.relation.isversionofjnlissue92en
dc.relation.isversionofjnldate2008-02
dc.relation.isversionofjnlpages51-68en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherRevue Banqueen
dc.subject.ddclabelEconomie financièreen


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