The Money and Bond Markets in France: Segmentation vs Integration

Détails

ID Serval
serval:BIB_D79277DC7AE1
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
The Money and Bond Markets in France: Segmentation vs Integration
Périodique
Journal of Banking and Finance
Auteur(s)
Dumas, B., Jacquillat, B. 
Statut éditorial
Publié
Date de publication
1990
Volume
14
Numéro
2-3
Pages
613-635
Résumé
When rates of return on bonds are computed over extremely short holding periods, the ex post cross-sectional relationship between realized return and risk is linear. It is therefore possible, at any time, to extrapolate the cross-sectional relationship to a zero risk level, and thus to determine the implied instantaneous riskless rate of interest. We apply this technique to French bond price data. Using a rather unique data set in which prices are sampled daily, we are able to compare the overnight rate implied in bond price data to the actual overnight money market rate. We conclude that the two rates are significantly different, which is evidence of segmentation between the two markets. The institutional set-up prevailing in France during the sample period explains the segmentation result.
Création de la notice
19/11/2007 11:49
Dernière modification de la notice
20/08/2019 16:57
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