Term Structure of Interest Rates and Expectations of Economic Policy (Structure Par Terme Des Taux D'Interet Et Anticipations De La Politique Economique)

Abstract

The thesis deals with the formation of expectations of economic policy in the term structure of interest rates. The first chapter studies the determination of the term structure of interest rates in a macroeconomic framework.

The second chapter studies the Central banks' communication effects on interest rates. We explain why they refuse to unambiguously announce the future level of the funds rate. Then we distinguish the effect of decisions from the effect of future monetary policy announces on the term structure of interest rates in the Euro Zone and the United States.

In the third chapter, we assess the fiscal policy effects on interest rates. According to us, fiscal policies would not have had any effect on the short term rate set by Central banks. Fiscal policies would also not have raised real long term interest rates over the studied period.

The fourth chapter deals with explanations of the low level of the US long-term interest rate. We quantify the Conundrum, and we show that the strong rise in Foreigners' long-term Federal debt purchases can explain a part of the Conundrum.

In the fifth chapter, we study the links between the equilibrium exchange rate, the long term rate and economic policy in a small open economy. We build up a theoretical model with time consistent economic policies. We show that the equilibrium real exchange rate and the equilibrium long term rate are contingent on policymakers' preferences.

Note: Downloadable document is in French.

Keywords: Interest rates, expectations, term structure, economic policy

JEL Classification: E