The Expectations Hypothesis of the Term Structure in the Philippines: An Empirical Note (2001-2017)
| Autor: | Marco Tronzano |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
050208 finance
Term Structure of Interest Rates Expectations Hypothesis Philippines Cointegration Monetary Policy media_common.quotation_subject Risk premium 05 social sciences Monetary policy Development General Business Management and Accounting Causality Interest rate Term (time) Order (exchange) 0502 economics and business Economics Econometrics Yield curve 050207 economics General Economics Econometrics and Finance media_common |
| Zdroj: | Asian Economic and Financial Review. 8:704-716 |
| ISSN: | 2222-6737 2305-2147 |
| DOI: | 10.18488/journal.aefr.2018.85.704.716 |
| Popis: | This paper provides a first assessment about the Expectations Hypothesis of the Term Structure (EHTS) in the Philippines. In line with the EHTS, there is strong support for cointegration between interest rates at different maturities, while no significant risk premium components are detected. However, the ?symmetry? restriction, assuming equi-proportional yields movements, is strongly rejected. Finally, there is strong evidence of unidirectional causality from short to long-term interest rates. The main policy implications are that: (a) monetary policy should be mainly focused on the management of longer term maturities; (b) monetary policy should rely on interest rates smoothing, in order to prevent potentially destabilizing effects. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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