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

Term structure of interest rates, Expectations hypothesis, Monetary policy, Risk premium, Cointegration, Structural breaks, Philippines.

How to Cite

Tronzano, M. . (2018). Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017). Asian Economic and Financial Review, 8(12), 1472–1481. https://doi.org/10.18488/journal.aefr.2018.812.1472.1481

Abstract

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.

https://doi.org/10.18488/journal.aefr.2018.812.1472.1481
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