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

Asian Economic and Financial Review

Marco Tronzano^1¹ 

[1] University of Genoa, School of Social Sciences, Department of Economics, Via Vivaldi 5, 16126 Genoa^1

关键词: Term structure of interest rates;    Expectations hypothesis;    Risk premium;    Philippines;    Cointegration;    Monetary Policy.;   

DOI  :  10.18488/journal.aefr.2018.85.704.716

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

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.

【 授权许可】

CC BY