Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/319995 
Year of Publication: 
2017
Series/Report no.: 
CASMEF Working Paper Series No. WP 2017/04
Publisher: 
LUISS Guido Carli, Department of Economics and Finance, Arcelli Centre for Monetary and Financial Studies, Rome
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 unconventional monetary policiesrecently 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, hence 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.
Subjects: 
Expectation Hypothesis of the Term Structure
Global Interest Rates
Global Liquidity
Asian Emerging Markets
Unconventional Monetary Policy
JEL: 
E43
E52
G12
G15
Document Type: 
Working Paper

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