Download the working paper no 35PDF - Banque de France

NOTES D’ÉTUDES 

ET DE RECHERCHE 

THE EXPECTATIONS HYPOTHESIS 

OF THE TERM STRUCTURE: 

TESTS ON US, GERMAN, FRENCH, 

AND UK EURO-RATES 

Eric Jondeau and Roland Ricart 

June 1996 

(revised December 1998) 

NER # 35 

DIRECTION GÉNÉRALE DES ÉTUDES

DIRECTION GÉNÉRALE DES ÉTUDES 

DIRECTION DES ÉTUDES ÉCONOMIQUES ET DE LA RECHERCHE 

THE EXPECTATIONS HYPOTHESIS 

OF THE TERM STRUCTURE: 

TESTS ON US, GERMAN, FRENCH, 

AND UK EURO-RATES 

Eric Jondeau and Roland Ricart 

June 1996 

(revised December 1998) 

NER # 35 

Les Notes d'Études et de Recherche reflètent les idées personnelles de leurs auteurs et n'expriment pas 

nécessairement la position de la Banque de France.

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57

Notes d'Études et de Recherche 

1. C. Huang and H. Pagès, “Optimal Consumption and Portfolio Policies with an Infinite 

Horizon: Existence and Convergence,” May 1990. 

2. C. Bordes, « Variabilité de la vitesse et volatilité de la croissance monétaire : le cas 

français », février 1989. 

3. C. Bordes, M. Driscoll and A. Sauviat, “Interpreting the Money-Output Correlation: Money- 

Real or Real-Real?,” May 1989. 

4. C. Bordes, D. Goyeau et A. Sauviat, « Taux d'intérêt, marge et rentabilité bancaires : le cas 

des pays de l'OCDE », mai 1989. 

5. B. Bensaid, S. Federbusch et R. Gary-Bobo, « Sur quelques propriétés stratégiques de 

l’intéressement des salariés dans l'industrie », juin 1989. 

6. O. De Bandt, « L'identification des chocs monétaires et financiers en France : une étude 

empirique », juin 1990. 

7. M. Boutillier et S. Dérangère, « Le taux de crédit accordé aux entreprises françaises : coûts 

opératoires des banques et prime de risque de défaut », juin 1990. 

8. M. Boutillier and B. Cabrillac, “Foreign Exchange Markets: Efficiency and Hierarchy,” 

October 1990. 

9. O. De Bandt et P. Jacquinot, « Les choix de financement des entreprises en France : une 

modélisation économétrique », octobre 1990 (English version also available on request). 

10. B. Bensaid and R. Gary-Bobo, “On Renegotiation of Profit-Sharing Contracts in Industry,” 

July 1989 (English version of NER n° 5). 

11. P. G. Garella and Y. Richelle, “Cartel Formation and the Selection of Firms,” December 

1990. 

12. H. Pagès and H. He, “Consumption and Portfolio Decisions with Labor Income and 

Borrowing Constraints,” August 1990. 

13. P. Sicsic, « Le franc Poincaré a-t-il été délibérément sous-évalué ? », octobre 1991. 

14. B. Bensaid and R. Gary-Bobo, “On the Commitment Value of Contracts under Renegotiation 

Constraints,” January 1990 revised November 1990. 

15. B. Bensaid, J.-P. Lesne, H. Pagès and J. Scheinkman, “Derivative Asset Pricing with 

Transaction Costs,” May 1991 revised November 1991. 

16. C. Monticelli and M.-O. Strauss-Kahn, “European Integration and the Demand for Broad 

Money,” December 1991. 

17. J. Henry and M. Phelipot, “The High and Low-Risk Asset Demand of French Households: A 

Multivariate Analysis,” November 1991 revised June 1992. 

18. B. Bensaid and P. Garella, “Financing Takeovers under Asymetric Information,” September 

1992.

19. A. de Palma and M. Uctum, “Financial Intermediation under Financial Integration and 

Deregulation,” September 1992. 

20. A. de Palma, L. Leruth and P. Régibeau, “Partial Compatibility with Network Externalities 

and Double Purchase,” August 1992. 

21. A. Frachot, D. Janci and V. Lacoste, “Factor Analysis of the Term Structure: a Probabilistic 

Approach,” November 1992. 

22. P. Sicsic et B. Villeneuve, « L'Afflux d'or en France de 1928 à 1934 », janvier 1993. 

23. M. Jeanblanc-Picqué and R. Avesani, “Impulse Control Method and Exchange Rate,” 

September 1993. 

24. A. Frachot and J.-P. Lesne, “Expectations Hypothesis and Stochastic Volatilities,” July 1993 

revised September 1993. 

25. B. Bensaid and A. de Palma, “Spatial Multiproduct Oligopoly,” February 1993 revised 

October 1994. 

26. A. de Palma and R. Gary-Bobo, “Credit Contraction in a Model of the Banking Industry,” 

October 1994. 

27. P. Jacquinot et F. Mihoubi, « Dynamique et hétérogénéité de l'emploi en déséquilibre », 

septembre 1995. 

28. G. Salmat, « Le retournement conjoncturel de 1992 et 1993 en France : une modélisation 

V.A.R. », octobre 1994. 

29. J. Henry and J. Weidmann, “Asymmetry in the EMS Revisited: Evidence from the Causality 

Analysis of Daily Eurorates,” February 1994 revised October 1994. 

30 O. De Bandt, “Competition Among Financial Intermediaries and the Risk of Contagious 

Failures,” September 1994 revised January 1995. 

31. B. Bensaid et A. de Palma, « Politique monétaire et concurrence bancaire », janvier 1994 

révisé en septembre 1995. 

32. F. Rosenwald, « Coût du crédit et montant des prêts : une interprétation en terme de canal 

large du crédit », septembre 1995. 

33. G. Cette et S. Mahfouz, « Le partage primaire du revenu : constat descriptif sur longue 

période », décembre 1995. 

34. H. Pagès, “Is there a Premium for Currencies Correlated with Volatility ? Some Evidence 

from Risk Reversals,” January 1996. 

35. E. Jondeau and R. Ricart, “The Expectations Theory : Tests on French, German and 

American Euro-rates,” June 1996. 

Pour tous commentaires ou demandes sur les Notes d'Études et de Recherche, contacter la bibliothèque du Centre de 

recherche à l'adresse suivante : 

For any comment or enquiries on the Notes d'Études et de Recherche, contact the library of the Centre de recherche at 

the following address: 

BANQUE DE FRANCE 

41.1391 - Centre de recherche 

75 049 Paris CEDEX 

tél : 01 42 92 49 59

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