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La demande de titres longs par les non-résidents explique-t-elle le bas niveau des taux longs publics américains ?

Author

Listed:
  • Bruno Ducoudre

    (OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po)

Abstract

Le taux d'intérêt à dix ans sur les obligations du Trésor américain reste stable entre le troisième trimestre 2004 et le troisième trimestre 2005. Dans le même temps, la Réserve Fédérale amorce une période de hausse du taux des fonds fédéraux dès la fin juin 2004. Le taux long a donc été souvent jugé trop bas. Des simulations dynamiques sont entreprises pour mesurer si son bas niveau est anormal compte tenu de l'évolution des anticipations des agents. Le taux long est ainsi inférieur de 0,5 à 0,9 point à son niveau prédit par les simulations. La hausse de la demande de titres longs par l'étranger permet d'expliquer une partie de cet écart.

Suggested Citation

  • Bruno Ducoudre, 2007. "La demande de titres longs par les non-résidents explique-t-elle le bas niveau des taux longs publics américains ?," Post-Print hal-03417183, HAL.
    • Handle: RePEc:hal:journl:hal-03417183
    as

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    Keywords

    structure par terme des taux d’intérêt; choix de portefeuille; accumulation d’actifs financiers;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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