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

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

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

“…A joint empirical analysis of the Philippines and other Asian countries which recently implemented financial liberalization measures represents, finally, another promising research direction. Guerello and Tronzano (2016) use panel data techniques and provide robust evidence supporting the EHTS for a small sample of Asian emerging economies including the Philippines. Further research efforts along these lines are worthwhile, extending the crosssectional dimension of the sample of Asian countries, and exploring the role of common global factors and of international interest rates spillovers.…”

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

“…Quite interestingly, as far as Asian economies are concerned, the above results related to single-country case studies find further support inside a panel cointegration framework. Panel data techniques implemented in Guerello and Tronzano (2016) document indeed a significant influence of an international global factor (i.e. a time-varying global risk premium component) on the long-run equilibrium driving the yield curve.…”