Introduction

Les lecteurs de notre site savent que nous accordons peu de foi au market timing (prédire l’évolution future du marché boursier); voir Battre le marché? sur notre site. Si quelqu'un venait nous dire que la bourse était sur le point de s’écrouler et nous conseillait de liquider l’ensemble de notre portefeuille d'actions et de rester 100% en liquidités, nous changerions poliment de sujet de conversation ; pour un exemple d'une telle recommandation, voir Ritholtz .  

Mais devons-nous adopter une position différente quand quelqu’un prévoit des hausses importantes des taux d'intérêt, et recommande de vendre l'ensemble de nos obligations et de rester 100% en placements à court terme? Dans ce commentaire nous regardons pourquoi il est difficile de prédire les taux d'intérêt futurs, et les conséquences pour comment structurer vos placements obligataires.
 
Les prévisions économiques

Comme tout autre prix, les taux d'intérêt sont le résultat de milliers de prêts et autres décisions individuels qui, dans l'ensemble, établissent le niveau des taux d'intérêt. Dans un monde parfait, pourrait-on prédire avec exactitude les taux d'intérêt? Il est très peu probable.

Les taux d'intérêt sont principalement dictés par les conditions économiques en général, et le cycle économique en particulier, dans le territoire de la devise concernée. Donc, cela soulève la question de la valeur des prévisions économiques.

L'incapacité de prévoir avec succès la croissance économique et les taux d'intérêt fait l'objet de la section suivante. Les lecteurs qui acceptent (vraiment) la grande difficulté de faire des prévisions exactes peuvent choisir de passer à la section suivante.

Une science ?

Il y a de bonnes raisons pour lesquelles les sciences économiques sont appelées en anglais the dismal science ; voir Wikipedia pour l'origine de cette expression . Peu d'économistes peuvent prédire avec précision le taux de croissance économique, et il est presque impossible de déterminer à l'avance ceux qui publieront les meilleures prévisions. Peut-être le site Econobrowser a, mieux que tous, bien résumé la situation:

Don't ask for too much of your forecast or your policy, and it won't disappoint you (ne demandez pas trop de votre prévision ou de votre politique, et vous ne serai pas déçu.). Source: Econobrowser ou comme PDF doc.1677.

Forecasters appear to have had much greater difficulty in assessing growth than
inflation during the last decade. In the US and Sweden there has also been a general overestimation of inflation and underestimation of growth. There are indications in several countries that forecasters have been unable to identify structural changes in growth patterns even after prolonged periods of time. There is also some evidence of herd behaviour amongst forecasters, with a tendency to follow the same revision patterns. But this pattern can arise from quite “legitimate” reasons as well, although it is beyond the scope of this study to determine which
explanation has more merit.

Despite all the most sexy computation techniques used by economic forecasters, there are times (in fact, quite often) when forecasts produced by the best economic forecasters deviate too much from the actual outcome. One of the main reasons is that economic models are bad at capturing unexpected turning points, such as stochastic shocks arising from political crisis, wars, natural disasters, bank runs etc. These events usually arise without early warning signs; hence, most standard economic models are unable to capture relevant information during such idiosyncratic episodes. As Paul Samuelson commented “The stock market has forecast nine of the last five recessions”. His quote clearly illustrated the difficulty of predicting future economic event.

But I got my answer and it is the answer by which I am perplexed. From what I can tell, the world's macroeconomists have engaged in just about zero reflection on the flaws in their own models that caused them to be so terribly wrong in 2008. In essence, they are saying: "Our models are just fine. The 2008 economic crash was a random, outlier event that will happen regardless of how good our models are. It is not a commentary on the quality of our models, but on the variability of life on the planet." Maybe; but I am afraid that I am not convinced. It seems to me that given how terribly, terribly wrong they were, the macroeconomists would be wise to revisit their mindsets, models and tools and ask: "What did we learn from the 'outlier' event. Maybe it wasn't actually an outlier. Maybe it could have taught us something important about the things to which we are now blind but which are actually critically important." Source: Martin 2009.   Source: Martin 2010 ou comme  PDF doc.1684.

Using published interest rates forecasts issued by professional economists, two combination forecasts designed to improve the directional accuracy of interest rate forecasting are constructed. The first combination forecast takes a weighted average of the individual forecasters' predictions. The more successful the forecaster was in past forecasts at predicting the direction of change in interest rates, the greater is the weight given to his/her current forecast. The second combination forecast is simply the forecast issued by the forecaster who had the greatest success rate at predicting the direction of change in interest rates in previous forecasts. In cases where two or more forecasters tie for best historic directional accuracy track record, the arithmetic mean of these forecasters is used. The study finds that neither combination forecasting method performs better than coin-flipping at predicting the direction of change in interest rates. Nor does either method beat the simple arithmetic mean of the predictions of all the forecasters surveyed at predicting the direction of change in interest rates. Source: sommaire d’un article par Greer ou comme un PDF doc.1685.

En conclusion: si votre conseiller, votre journal local, la banque centrale ou votre ministre des Finances vous dit qu'il sait vraiment le taux de croissance de l’économie de l'année prochaine, ou pire encore, le taux de croissance en 2, 5 ou 10 ans, soyez sceptique.