Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)

Abstract

This paper extends the empirical investigation of Tronzano (2018b) applying a cointegration test allowing for a structural break in the long-run equilibrium relationship. In line with Tronzano (2018b) the null hypothesis of absence of cointegration is strongly rejected for all interest rates maturities, while a significant structural break is detected at the end of 2008. A decrease in risk premium components is documented after the 2008 structural break, while the "symmetry" restriction is only supported after this regime-shift. Overall, the policy prescriptions from this analysis are in line with those outlined in Tronzano (2018b) supporting a monetary policy strategy based on interest rate smoothing. Contribution/ Originality: This study contributes in the existing literature allowing for one break in the cointegrating relationship underlying the Philippine term structure of interest rates, thus exploring the structural effects of the 2007/2008 global financial crisis.

The Expectations Hypothesis of the Term Structure in the Philippines: An Empirical Note (2001-2017)

“…a large group of countries recently joining the European Union. However, the "Pure" version of this theory has often been rejected (see, among others, Cooray (2003) for Sri Lanka; Tabak (2009) for Brazil; Buigut and Rao (2010)) for Hong Kong, and Tronzano (2015a;2015b) for India).…”

Comparative Analysis of Waqf Generosity Index (WGI) in Generation Y and Z

“…Due to such scenario, the development of the Waqf in Malaysia needs to be monitored as to maintain the good practice and governance of Waqf institutions (Raimi, L., Patel, A., & Adolopo, I., 2014) and projecting towards excellence of the whole nation. Lack of awareness toward philanthropic attributes resulted to a lower charity giving in Islam (Harun, Possumah, Shafiai, & Noor, 2016;Tronzano, 2018). Therefore, the rate of generosity value of GenY and GenZ has been highlighted as one of the vital and indispensable contemplations in portraying the commitment conduct toward philanthropic attributes in Malaysia.…”