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: | , , |
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| Format: | Article |
| Language: | English |
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Faculty of Economics and Management, Universiti Putra Malaysia
2008
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| Online Access: | http://psasir.upm.edu.my/id/eprint/689/ http://psasir.upm.edu.my/id/eprint/689/1/bab10.pdf |
| _version_ | 1848838839670407168 |
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| author | Elshareif, Elgilani Eltahir Yusop, Zulkornain Tan, Hui Boon |
| author_facet | Elshareif, Elgilani Eltahir Yusop, Zulkornain Tan, Hui Boon |
| author_sort | Elshareif, Elgilani Eltahir |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-15T07:01:56Z |
| format | Article |
| id | upm-689 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T07:01:56Z |
| publishDate | 2008 |
| publisher | Faculty of Economics and Management, Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-6892015-07-06T01:55:59Z http://psasir.upm.edu.my/id/eprint/689/ Value-added information in term structure: the case of Malaysian government securities Elshareif, Elgilani Eltahir Yusop, Zulkornain Tan, Hui Boon 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. Faculty of Economics and Management, Universiti Putra Malaysia 2008-06 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/689/1/bab10.pdf Elshareif, Elgilani Eltahir and Yusop, Zulkornain and Tan, Hui Boon (2008) Value-added information in term structure: the case of Malaysian government securities. International Journal of Economics and Management, 2 (1). pp. 195-206. ISSN 1823-836X http://econ.upm.edu.my/ijem/vol2_no1.htm |
| spellingShingle | Elshareif, Elgilani Eltahir Yusop, Zulkornain Tan, Hui Boon Value-added information in term structure: the case of Malaysian government securities |
| title | Value-added information in term structure: the case of Malaysian government securities |
| title_full | Value-added information in term structure: the case of Malaysian government securities |
| title_fullStr | Value-added information in term structure: the case of Malaysian government securities |
| title_full_unstemmed | Value-added information in term structure: the case of Malaysian government securities |
| title_short | Value-added information in term structure: the case of Malaysian government securities |
| title_sort | value-added information in term structure: the case of malaysian government securities |
| url | http://psasir.upm.edu.my/id/eprint/689/ http://psasir.upm.edu.my/id/eprint/689/ http://psasir.upm.edu.my/id/eprint/689/1/bab10.pdf |