The Information Content of the French and German Government Bond Yield Curves: Why Such Differences?

39 Pages Posted: 4 Jan 2011

See all articles by Eric Jondeau

Eric Jondeau

University of Lausanne - Faculty of Business and Economics (HEC Lausanne); Swiss Finance Institute; Swiss Finance Institute

Roland Ricart

Banque de France

Date Written: February 1, 1999

Abstract

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.

Keywords: Term structure of interest rates, Information content

JEL Classification: E43

Suggested Citation

Jondeau, Eric and Ricart, Roland, The Information Content of the French and German Government Bond Yield Curves: Why Such Differences? (February 1, 1999). Banque de France Working Paper No. 61, Available at SSRN: https://ssrn.com/abstract=1734354 or http://dx.doi.org/10.2139/ssrn.1734354

Eric Jondeau (Contact Author)

University of Lausanne - Faculty of Business and Economics (HEC Lausanne) ( email )

Extranef 232
Lausanne, 1012
Switzerland
+41 21 692 33 49 (Phone)

HOME PAGE: http://people.unil.ch/ericjondeau/

Swiss Finance Institute ( email )

40, Boulevard du Pont-d'Arve
40, Bd du Pont-d'Arve
1211 Geneva 4, CH-6900
Switzerland
+41 21 692 33 49 (Phone)

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Roland Ricart

Banque de France ( email )

Paris
France

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