Value-added Information in Term Structure: The case of Malaysian Government Securities.
Elshareif, Elgilani Eltahir["lib/metafield:join_name" not defined]Yusop, Zulkornain["lib/metafield:join_name" not defined]Hui, Boon Tan (2008) Value-added Information in Term Structure: The case of Malaysian Government Securities. International Journal of Economics and Management, 2 (1). ["lib/metafield/pagerange:range" not defined
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 shortterm rate. This implies the stability of the short-term interest rates in Malaysia.
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