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Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)

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  • Marco Tronzano

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:asi:aeafrj:v:8:y:2018:i:12:p:1472-1481:id:1769
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