This article outlines a panel data approach to modelling the term structure of interest rates in the short and in the long run. We find robust evidence supporting the expectations hypothesis of the term structure (EHTS) for a small sample of Asian emerging markets. Furthermore, we detect some relevant differences in the transmission mechanism of monetary policy, and the existence of a McCallum (2005) rule (no exogeneity of monetary policy to the yield curve) in some countries. Finally, we document the influence of an international global factor (i.e. a time-varying global risk premium) on the yield curve, while local country-specific factors are not statistically significant.

The expectations hypothesis of the term structure of interest rates and monetary policy: some evidence from Asian countries / Guerello, Chiara; Tronzano, Marco. - In: APPLIED ECONOMICS. - ISSN 0003-6846. - 48:55(2016), pp. 5405-5420. [10.1080/00036846.2016.1178845]

The expectations hypothesis of the term structure of interest rates and monetary policy: some evidence from Asian countries

Guerello, Chiara;
2016

Abstract

This article outlines a panel data approach to modelling the term structure of interest rates in the short and in the long run. We find robust evidence supporting the expectations hypothesis of the term structure (EHTS) for a small sample of Asian emerging markets. Furthermore, we detect some relevant differences in the transmission mechanism of monetary policy, and the existence of a McCallum (2005) rule (no exogeneity of monetary policy to the yield curve) in some countries. Finally, we document the influence of an international global factor (i.e. a time-varying global risk premium) on the yield curve, while local country-specific factors are not statistically significant.
2016
Asian emerging markets; Expectations hypothesis; global factor; monetary policy; time-varying risk premium; yield-smoothing; Economics and Econometrics
The expectations hypothesis of the term structure of interest rates and monetary policy: some evidence from Asian countries / Guerello, Chiara; Tronzano, Marco. - In: APPLIED ECONOMICS. - ISSN 0003-6846. - 48:55(2016), pp. 5405-5420. [10.1080/00036846.2016.1178845]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/177343
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