Une analyse empirique du risque non-généré par la courbe de rendements des obligations des États-Unis
DOI :
https://doi.org/10.17533/udea.le.n85a01Mots-clés :
risque de liquidité, obligations indexées sur l’inflation, modèles de taux d’intérêt connexe, facteurs non-générés par la courbe de rendements, prévisionsRésumé
Cet article cherche à savoir si la prime de risque de liquidité est conforme à la hypothèse selon laquelle la prime ne peut pas être généré par la structure à termes des taux d’intérêt, dans le cadre d’un modèle gaussien affine avec des obligations à coupon nominal zéro indexées sur l’inflation, émises par le gouvernement des États-Unis. Dans le modèle, le risque de liquidité est pris en compte en tant qu’un facteur supplémentaire qui n’est pas généré par la courbe de rendements, mais il sert à améliorer la prévision de la prime de risque sur les obligations. Nous montrons des preuves empiriques suggérant que la prime de liquidité permet de prédire la prime de risque sur les obligations, malgré le fait de n’est pas être généré par les informations contenues dans la courbe de rendements. En outre, il est prouvé que le facteur de liquidité n’affecte pas la dynamique des
obligations en vertu de la mesure sans risque, mais celui-ci est affecté en vertu de la mesure de probabilité historique...
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