Citation
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
Abstract
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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Official URL or Download Paper: http://econ.upm.edu.my/ijem/vol2_no1.htm
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Economics and Management |
| Publisher: | Faculty of Economics and Management, Universiti Putra Malaysia |
| Keywords: | Risk premium; Term structure; Expectation hypothesis; Short-term interest rate; Long-term interest rate; GMM; Hansen’s instrument validity test |
| Depositing User: | Yusfauhannum Mohd Yunus |
| Date Deposited: | 24 Nov 2008 15:12 |
| Last Modified: | 06 Jul 2015 01:55 |
| URI: | http://psasir.upm.edu.my/id/eprint/689 |
| Statistic Details: | View Download Statistic |
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