Methods of evaluating the interest rate term premium.

Summary Expectations from the yield curve are the starting point of this research. The objective of this thesis is to answer the following question: to what extent can the term premium be anticipated by consumption? Following an extensive literature review, we propose a first modeling framework that places the term premium at the heart of a consumption-based asset pricing model. The term premium appears as a function of the variation in expected consumption growth. However, the model does not seem to give realistic values of risk aversion. A second model linking interest rates to consumption patterns appears more convincing. The link established between interest rates and consumption offers us new perspectives for an international test. We then show that consumption is related to the term premium and foreign currency investments.