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“Global factors, international spillovers, and the term structure of interest rates: New evidence for Asian Countries”

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  • Guerello, Chiara
  • Tronzano, Marco

Abstract

This paper provides new evidence about the role of common global factors exploring the existence of structural breaks in the long-run trend of the term structure and analyzes the spillover effects from the unconventional monetary policies recently implemented by major industrialized countries. For a panel of four Asian economies (Malaysia, Philippines, Singapore, South Korea), we show that, accounting for the role of global liquidity factors, parameters restrictions associated with the EHTS are not rejected, even after a regime-shift occurring at the end of 2005, thus supporting an extended weak version of the “Liquidity Premium Theory”. We also document relevant discrepancies in the short-run dynamics of long-term interest rates, which are strictly related to some structural differences between these Asian countries in terms of the “impossible trinity” between monetary independence, financial openness and exchange rate stability.

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  • 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).
    • Handle: RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300166
    DOI: 10.1016/j.najef.2019.101073
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    Cited by:

    1. Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2023. "Risk spillovers between global corporations and Latin American sovereigns: global factors matter," Applied Economics, Taylor & Francis Journals, vol. 55(13), pages 1477-1496, March.

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    More about this item

    Keywords

    Expectation hypothesis of the term structure; Global interest rates; Global liquidity; Asian emerging markets; International financial spillovers;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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