2018, Volume 71 - Issue 2
RSS feed citation: At RePEc
Publication date: 02 May 2018
SOME INTERNATIONAL FINANCIAL CONTRIBUTIONS: EMPIRICAL RESULTS AND POLICY IMPLICATIONSRead the article
ASSESSING PORTFOLIO MARKET RISK IN THE BRICS ECONOMIES: USE OF MULTIVARIATE GARCH MODELSRead the article
BANK COMPETITION, CONCENTRATION AND RISK-TAKING IN THE UAE BANKING INDUSTRYRead the article
Marco TRONZANO, Università degli Studi di Genova, Dipartimento di Economia e Metodi Quantitativi, Genova, Italia
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.
C1, E43, E52
Term Structure of Interest Rates, Expectations Hypothesis, Asian Emerging Markets, South Korea, Cointegration, Monetary Policy
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