The Expectations Hypothesis of the Term Structure in the Philippines: An Empirical Note (2001-2017)

Tronzano, Marco

doi:10.18488/journal.aefr.2018.85.704.716

Cited by 4 publications

(8 citation statements)

References 20 publications

(23 reference statements)

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“…The slope coefficients before the structural break (see 1 estimates in Tables 2A-2B) are always significantly higher than one suggesting that, during this period, the "symmetry" restriction is rejected. This result mimics the empirical evidence obtained in Tronzano (2018b) documenting the absence of equi-proportional yields movements and strong overshooting effects for nominal interest rates at longer maturities.…”

Section: Estimated Parameters and Wald Tests On Parameters Restrictionssupporting

confidence: 88%

“…Overall, therefore, a first important result is that risk premium components have been significantly positive along the whole sample, although strongly expansionary monetary policies contributed to a significant reduction of these components since the end of 2008. This result differs from Tronzano (2018b) where no significant risk premium component is detected.…”

Section: Estimated Parameters and Wald Tests On Parameters Restrictionscontrasting

confidence: 85%

“…The lower plot (continuous line) refers to the 3-months Treasury Bills rate (assumed as a proxy for the policy rate), whereas the remaining two upper plots (dotted lines) refer, respectively, to the 6-month and to the 1-year Treasury Bills rates. As observed in Tronzano (2018b) Focusing on Figure 1 in more detail, the following relevant features stand out.…”

Section: Introductionmentioning

confidence: 84%

“…In a recent paper published on this review, I provide a first assessment about the validity of the EHTS in the Philippines since the official introduction of an inflation targeting regime (Tronzano, 2018b).…”

Section: Introductionmentioning

confidence: 99%

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Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)

Tronzano

2018

Asian Economic and Financial Review

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This paper extends the empirical investigation of Tronzano (2018b) applying a cointegration test allowing for a structural break in the long-run equilibrium relationship. In line with Tronzano (2018b) the null hypothesis of absence of cointegration is strongly rejected for all interest rates maturities, while a significant structural break is detected at the end of 2008. A decrease in risk premium components is documented after the 2008 structural break, while the "symmetry" restriction is only supported after this regime-shift. Overall, the policy prescriptions from this analysis are in line with those outlined in Tronzano (2018b) supporting a monetary policy strategy based on interest rate smoothing. Contribution/ Originality: This study contributes in the existing literature allowing for one break in the cointegrating relationship underlying the Philippine term structure of interest rates, thus exploring the structural effects of the 2007/2008 global financial crisis.

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Section: Estimated Parameters and Wald Tests On Parameters Restrictionssupporting

confidence: 88%

Section: Estimated Parameters and Wald Tests On Parameters Restrictionscontrasting

confidence: 85%

Section: Introductionmentioning

confidence: 84%

Section: Introductionmentioning

confidence: 99%

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Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)

Tronzano

2018

Asian Economic and Financial Review

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“…Furthermore, every takaful structure involves contribution (donation) by the insured party (participant) to the insurer (operator). If any loss occurred, operator will contribute the second donation (according to the actual amount of loss) to the beneficiary (Seyadi, 2015;Tronzano, 2018).…”

Section: Takaful the Islamic Insurancementioning

confidence: 99%

Religious and Socioeconomic Implications of Islamic Insurance: A Review

Rahman¹,

Osman²,

Ani³

et al. 2019

IJFR

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In this paper, our purpose is to evaluate religious and socioeconomic implication of Islamic insurance to the society. Islamic insurance i.e. takaful is a form of protection and wealth preservation method based on the principles of mutual cooperation, encompassing the elements of Shari’ah compliancy such as prohibitions of riba (interest/usury), gharar (uncertainty) and maysir (gambling), while upholding the virtue of mudharabah (profit sharing), wakalah (trusted agency), tabarru’ (donation/charity) and ta’awun (cooperation). Recently, there are numerous literatures on religious and socioeconomic realms with regards to takaful industry due to the financial product being widely accepted in the modern day. In addition, contemporary scholars made various efforts to study the legality and feasibility of takaful as an alternative to the conventional insurance. Within the legality and feasibility of takaful, it is essential to recognize its implications to the society. As such, this paper reviews the implications of takaful products within the context of religious duty and spiritual fulfilment, at the same time towards the socioeconomic attainment. The finding of this paper embodies that takaful industry indeed substantially influence the religious and socioeconomic behavior, hence influence the society in making decision with regards to protection of their life, family as well as preservation of their wealth. Besides, this paper outlines the benefits and pitfalls of takaful which open the door for improvement. Nonetheless, this paper limits itself to the implications in general context, hence it provides space for a more focused setting in the near future. On the other hand, as this paper is evaluative in nature, review process is done via analysis of the current literature from academic papers, journals and books obtained via library and online research databases.

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Validity of the Expectations Hypothesis of the Term Structure of Interest Rates: The Case of Saudi Arabia

Harrathi

Al-Hoshan

2020

Review of Middle East Economics and Finance

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We examine and test the validity of the expectation hypothesis of the term structure (EHTS) of interest rates in Saudi Arabia using the traditional single equation approach, Campbell and Shiller methodology, Error Correction Model, and monthly data over the period June 1983 to December 2014. The results of the single equation approach indicate that the test of validity of the expectation hypothesis cannot be rejected for all maturities. We also find that the validity of the EHTS of interest rates is supported through the stationarity of the term spreads between short- and long-term interest rates. Moreover, the cointegration test reveals the existence of a cointegration relationship between short- and long-term interest with $\left(1-1\right)$ cointegrating vector, suggesting the validity EHTS of interest rates. Policy implications based on the empirical results suggest that the transparency of monetary policy in Saudi Arabia and the effective role of the Saudi Arabian Monetary Authority (SAMA) in conducting monetary policy increase the predictive power of market participants of future movements of short-term interest rates.

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The Expectations Hypothesis of the Term Structure in the Philippines: An Empirical Note (2001-2017)

Cited by 4 publications

References 20 publications

Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)

Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)

Religious and Socioeconomic Implications of Islamic Insurance: A Review

Validity of the Expectations Hypothesis of the Term Structure of Interest Rates: The Case of Saudi Arabia

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