Bond yield spreads and short-term interest rate movements
The information content of the short end of the term structure depends on the stance of monetary policy. Based on the findings of several authors such as Simon (1990) and Hardouvelis (1988) the bond spreads can predict future short-term rate movements. Hence, we use monthly observations from 1997 to...
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Sekolah Pengurusan, Universiti Utara Malaysia
2003
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my.uum.repo.3622010-08-29T02:03:38Z http://repo.uum.edu.my/362/ Bond yield spreads and short-term interest rate movements Ismail, Abd Ghafar Koris, Roshanim HJ Public Finance The information content of the short end of the term structure depends on the stance of monetary policy. Based on the findings of several authors such as Simon (1990) and Hardouvelis (1988) the bond spreads can predict future short-term rate movements. Hence, we use monthly observations from 1997 to 2000 on inter-bank rate, treasury bill rates, government bond rates and corporate blond rates to better understand the relationship between the predictive power of the term structure and the stance of monetary policy. Sekolah Pengurusan, Universiti Utara Malaysia 2003 Article PeerReviewed application/pdf en http://repo.uum.edu.my/362/1/Abd_Ghafar_Ismail.pdf Ismail, Abd Ghafar and Koris, Roshanim (2003) Bond yield spreads and short-term interest rate movements. Utara Management Review, 4 (1). pp. 1-8. ISSN 1511-7170 |
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HJ Public Finance |
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HJ Public Finance Ismail, Abd Ghafar Koris, Roshanim Bond yield spreads and short-term interest rate movements |
| description |
The information content of the short end of the term structure depends on the stance of monetary policy. Based on the findings of several authors such as Simon (1990) and Hardouvelis (1988) the bond spreads can predict future short-term rate movements. Hence, we use monthly observations from 1997 to 2000 on inter-bank rate, treasury bill rates, government bond rates and corporate blond rates to better understand the relationship between the predictive power of the term structure and the stance of monetary policy. |
| format |
Article |
| author |
Ismail, Abd Ghafar Koris, Roshanim |
| author_facet |
Ismail, Abd Ghafar Koris, Roshanim |
| author_sort |
Ismail, Abd Ghafar |
| title |
Bond yield spreads and short-term interest rate movements |
| title_short |
Bond yield spreads and short-term interest rate movements |
| title_full |
Bond yield spreads and short-term interest rate movements |
| title_fullStr |
Bond yield spreads and short-term interest rate movements |
| title_full_unstemmed |
Bond yield spreads and short-term interest rate movements |
| title_sort |
bond yield spreads and short-term interest rate movements |
| publisher |
Sekolah Pengurusan, Universiti Utara Malaysia |
| publishDate |
2003 |
| url |
http://repo.uum.edu.my/362/1/Abd_Ghafar_Ismail.pdf http://repo.uum.edu.my/362/ |
| _version_ |
1644277774665383936 |
| score |
13.209306 |