Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (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, Italy^1

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

DOI  :  10.18488/journal.aefr.2018.812.1472.1481

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 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.

【 授权许可】

CC BY