Essec\Faculty\Model\Contribution {#2190
  #_index: "academ_contributions"
  #_id: "1490"
  #_source: array:26 [
    "id" => "1490"
    "slug" => "la-dynamique-des-taux-dinteret-a-court-terme-en-france"
    "yearMonth" => "1995-01"
    "year" => "1995"
    "title" => "La dynamique des taux d'intérêt à court terme en France"
    "description" => "AFTALION, F. et PONCET, P. (1995). La dynamique des taux d'intérêt à court terme en France. <i>Bankers, Markets and Investors</i>, pp. 5-16."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "AFTALION Florin"
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2023-01-27 01:00:15"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "5-16"
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Cet article tente de trouver une représentation économétrique satisfaisante de la dynamique du taux Pibor 3 mois sur la période 1987-1991 et d'en proposer une explication théorique fondée sur le comportement de la banque centrale et des banques périphériques. Nos résultats mettent en doute la validité du processus d'Ornstein-Uhlenbeck, communément utilisé comme modèle dynamique d'évolution des taux courts français. D'une part, la structure autorégressive qui émerge est d'ordre deux, et d'autre part, les résidus du processus jugé explicatif exhibent un effet ARCH (1)."
      "en" => "The aim of this paper is to provide both a satisfactory econometric representation of the dynamics of the 3-month Pibor interest rate over the 1987-1991 period, and a theoretical justification grounded in the behaviour of the interbank market's participants. Our results cast doubt on the validity of the often used Orstein-Uhlenbeck process as an appropriate model describing the dynamics of French short term rates. Our data actually fits an AR (2) process. We also provide evidence of ARCH (1) effects in the residuals."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-04-20T07:21:44.000Z"
    "docTitle" => "La dynamique des taux d'intérêt à court terme en France"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, AFTALION Florin"
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, AFTALION Florin</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1995</span>"
    "keywordList" => ""
    "docPreview" => "<b>La dynamique des taux d'intérêt à court terme en France</b><br><span>1995-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">La dynamique des taux d'intérêt à court terme en France</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.460956
  +"parent": null
}