Contents of the volume

2018, Volume 71 - Issue 2

ISSN: 2499-8265
RSS feed citation: At RePEc
Publication date: 02 May 2018

SOME INTERNATIONAL FINANCIAL CONTRIBUTIONS: EMPIRICAL RESULTS AND POLICY IMPLICATIONS

Amedeo Amato

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ASSESSING PORTFOLIO MARKET RISK IN THE BRICS ECONOMIES: USE OF MULTIVARIATE GARCH MODELS

Lumengo Bonga-Bonga, Lebogang NLEYA

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BANK COMPETITION, CONCENTRATION AND RISK-TAKING IN THE UAE BANKING INDUSTRY

Aktham Maghyereh

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LINEAR AND NONLINEAR ATTRACTORS IN PURCHASING POWER PARITY

Imad Moosa, Ming MA

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DIRECT AND INDIRECT FORECASTING OF CROSS EXCHANGE RATES

Imad Moosa, John VAZ

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DOES THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE HOLD IN KOREA AFTER THE ASIAN FINANCIAL CRISIS? SOME EMPIRICAL EVIDENCE (1999-2017)

Marco Tronzano

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Genoa Chamber of Commerce
Economia Internazionale / International Economics

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Corresponding author

Marco TRONZANO, Università degli Studi di Genova, Dipartimento di Economia e Metodi Quantitativi, Genova, Italia

Does the Expectations Hypothesis of the Term Structure Hold in Korea after the Asian Financial Crisis? Some Empirical Evidence (1999-2017)

Pages

191-226

Abstract

This paper explores the validity of the Expectations Hypothesis of the Term Structure (EHTS) in Korea after the 1997-1998 Asian financial crisis. In line with the EHTS,  one common stochastic trend is found in the term structure of interest rates, although the validity of the “symmetry” restriction is rejected. Moreover, significant liquidity premia and a causal relationship from long to short-term interest rates are documented. The main policy implications are that monetary policy should be implemented in a gradual manner, and putting greater emphasis on the expectations channel through which agents anticipate its future path.

JEL classification

C1, E43, E52

Keywords

Term Structure of Interest Rates, Expectations Hypothesis, Asian Emerging Markets, South Korea, Cointegration, Monetary Policy

Index

  1. Introduction
  2. Data set and preliminary data inspection
  3. Empirical evidence
  4. Robustness tests
  5. Concluding remarks

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