English, Article, Journal or magazine article edition: The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?. Jondeau, E.; Ricart, R.

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Information Content of the French and German Government Bond Tield Curves: Why Such Differences?.
Author
  • Jondeau, E.
  • Ricart, R.
Physical Description
  • preprint
Notes
  • In this paper, we evaluate the information content of the yield curve as regards future interest rates and inflation in France and Germany. An original data set of long-term zero-coupon interest rates for French and German government bonds was constructed for the period 1980-97. Empirical evidence shows that the German yield curve has a significant information content about the future average change in short-term rates and the future path of inflation. The information content of the French yield curve is much more limited and is only relevant for the average change in short-term rates. We show that the difference between the results obtained for both countries mainly stems from lower variability in German risk premia than in French risk premia.
  • Term structure of interest rates ; Information content
  • RePEc:bfr:banfra:61
Language
  • English
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