Value-added information in term structure: the case of Malaysian government securities
Elshareif, Elgilani Eltahir and Yusop, Zulkornain and Tan, Hui Boon (2008) Value-added information in term structure: the case of Malaysian government securities. International Journal of Economics and Management, 2 (1). pp. 195-206. ISSN 1823-836X
Official URL: http://econ.upm.edu.my/ijem/vol2_no1.htm
This study empirically examines the impact of value-added information in the risk premium on the predictability of longer maturity term structure about future short-term rates in Malaysian fixed income securities market. Regardless of the absence of a time-varying risk premium in the interest rate, the Generalized Method of Moment (GMM) results suggest that there is statistical evidence to support that the longer-term spread between long-term and short-term rates does have some significant power in predicting the changes in expected future short-term rate. This implies the stability of the short-term interest rates in Malaysia.
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