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

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  • Chiara Guerello
  • Marco Tronzano

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.

Suggested Citation

  • Chiara Guerello & Marco Tronzano, 2016. "The expectations hypothesis of the term structure of interest rates and monetary policy: some evidence from Asian countries," Applied Economics, Taylor & Francis Journals, vol. 48(55), pages 5405-5420, November.
    • Handle: RePEc:taf:applec:v:48:y:2016:i:55:p:5405-5420
    DOI: 10.1080/00036846.2016.1178845
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    Cited by:

    1. Guerello, Chiara & Tronzano, Marco, 2020. "“Global factors, international spillovers, and the term structure of interest rates: New evidence for Asian Countries”," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    2. Harrathi Nizar & Alhoshan Hamed M., 2020. "Validity of the Expectations Hypothesis of the Term Structure of Interest Rates: The Case of Saudi Arabia," Review of Middle East Economics and Finance, De Gruyter, vol. 16(1), pages 1-18, April.
    3. Marco Tronzano, 2018. "Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(12), pages 1472-1481, December.

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