INTERACTIONS OF SHORT-TERM AND LONG-TERM INTEREST RATES IN MALAYSIAN DEBT MARKETS: APPLICATION OF ERROR CORRECTION MODEL AND WAVELET ANALYSIS
The study examines the key determinant of short- and long-term interest rates within the framework of term structure of interest rate theory. The study employs both error correction model (ECM) and wavelet analysis on these two important economic variables. Using time series data from January 2005 t...
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| Veröffentlicht in: | Asian Academy of Management journal 2019-01, Vol.24 (Supp. 1), p.19-31 |
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| container_issue | Supp. 1 |
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| container_title | Asian Academy of Management journal |
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| creator | Hadi, Abdul Razak Abdul Zainuddin, Zalina Hussain, Hafezali Iqbal Rehan, Raja |
| description | The study examines the key determinant of short- and long-term interest rates within the framework of term structure of interest rate theory. The study employs both error correction model (ECM) and wavelet analysis on these two important economic variables. Using time series data from January 2005 through April 2017, the empirical findings from long-run regression show there is a significant negative relationship between the short- and the long-term interest rates. The two variables are also found to be negatively correlated. More importantly, the statistical results from the ECM at lag 2 reveal that there is a significant long-term relationship between short- and long-term interest rates. Therefore, this empirical finding is in line with the notion of interest rate expectation theory. |
| doi_str_mv | 10.21315/aamj2019.24.s1.2 |
| format | Article |
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| source | EBSCOhost Business Source Complete; EZB-FREE-00999 freely available EZB journals |
| subjects | Borrowing Causality Central banks Confidence intervals Econometrics Economic crisis Error correction & detection Federal funding Federal funds rate Federal Reserve monetary policy Interest rates Long term Monetary policy Money markets Prices Rates of return Reserve requirements Sample variance Securities markets Short term Stock exchanges Stock prices Time series Variables Wavelet transforms |
| title | INTERACTIONS OF SHORT-TERM AND LONG-TERM INTEREST RATES IN MALAYSIAN DEBT MARKETS: APPLICATION OF ERROR CORRECTION MODEL AND WAVELET ANALYSIS |
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