Value-added information in term structure: the case of Malaysian government securities
This study empirically examines the impact of value-added information in the risk premium on the predictability of longer maturity term structure about future short-term rates in Malaysian fixed income securities market. Regardless of the absence of a time-varying risk premium in the interest rate,...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics and Management, Universiti Putra Malaysia
2008
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/689/ http://psasir.upm.edu.my/id/eprint/689/1/bab10.pdf |
| Summary: | This study empirically examines the impact of value-added information in the risk premium on the predictability of longer maturity term structure about future short-term rates in Malaysian fixed income securities market. Regardless of the absence of a time-varying risk premium in the interest rate, the Generalized Method of Moment (GMM) results suggest that there is statistical evidence to support that the longer-term spread between long-term and short-term rates does have some significant power in predicting the changes in expected future short-term rate. This implies the stability of the short-term interest rates in Malaysia. |
|---|