Term structure theory of interest rates: an analysis of the wealth effect and the information effect in exchange and production economics.

Summary This thesis is devoted to the theoretical analysis of the term structure of interest rates from a microeconomic perspective. The first chapter examines the so-called traditional theories. These approaches are built on imprecise modeling of uncertainty and microeconomic behavior. The next two chapters show that modern asset pricing theory overcomes these shortcomings. The focus is on equilibrium models of the term structure, based on the work of Cox, Ingersoll and Ross. Two models, expressed in the formalism of continuous-time stochastic calculus, are examined in detail and compared. The first one, based on an arbitrage principle, proves insufficient. The second is an intertemporal general equilibrium model. It links the structure of rates to uncertainty, individual preferences, and the fundamental variables of the economy (production, consumption, etc.). The analysis developed in the last chapter is based on the theoretical foundations of this model, but focuses more specifically on the structure of uncertainty. The study is conducted within the framework of a two-period model of contingent markets, in which the structure of rates is characterized by the sign of two premiums: the liquidity premium and the strength premium. The structure of uncertainty refers to the type of economy considered (exchange or production economy), and to the content of the messages likely to reach the markets. Depending on whether these messages reveal the current situation or provide information on the future situation, they define a "wealth effect" or an "information effect". Existing works on the subject are reconsidered and completed. In particular, the wealth effect and the information effect are studied in the context of an economy in which only endowments are random, but in which certain production technologies are available.