A Comparative Analysis of the Expectations Hypothesis of the Term Structure of Interest Rates between the BRICS and G7 Countries

• Autorzy: Paul-Francois Muzindutsi , Sinethemba Mposelwa

Warianty tytułu

Analiza porównawcza hipotezy oczekiwań struktury terminowej stóp procentowych między krajami BRICS i G7

• Języki publikacji: EN

Abstrakty

EN

This paper examines the predictive ability of the expectations hypothesis of the term structure of interest rates in the BRICS and G7 countries by relating each country's monthly 3-month Treasury bill rate to 10-year government bond rates, from May 2003 to May 2018. The panel ARDL model, applying the mean group (MG), pooled mean group (PMG), and dynamic fixed effects (DFE) estimators, is employed to compare the short- and long-run relationships in both groups of countries. The results show that the expectations hypothesis holds in both BRICS and G7 country groups. In the long run, the short-term interest rate is able to predict the long-term interest rate in both the BRICS and G7 countries. Interest rates in BRICS indicate rapid adjustment back to the long-run equilibrium, while the adjustment is sluggish in the G7 block. Based on the findings of the study, the sluggish adjustment to the equilibrium in the G7 gives the impression that the financial crisis had an impact on the term structure of interest rates as the G7 countries were directly affected by the crisis. (original abstract)

W artykule dokonano analizy zdolności predykcyjnej hipotezy oczekiwań struktury terminowej stóp procentowych w krajach BRICS i G7, porównując miesięczną stopę oprocentowania trzymiesięcznych bonów skarbowych każdego kraju ze stopami oprocentowania 10-letnich obligacji skarbowych w okresie od maja 2003 do maja 2018. Model panelowy ARDL, wykorzystujący estymatory Mean Group (MG), Pooled Mean Group (PMG) i estymatory modelu dynamicznego z efektami stałymi (DFE), posłużył do porównywania krótko- i długookresowych relacji w obu grupach krajów. Wyniki pokazują, że hipoteza oczekiwań jest prawdziwa zarówno dla grupy krajów BRICS, jak i G7. W dłuższej perspektywie krótkoterminowa stopa procentowa pozwala przewidzieć długoterminową stopę procentową zarówno w krajach BRICS, jak i G7. Stopy procentowe w krajach BRICS wskazują na szybką korektę i powrót do długookresowej równowagi, podczas gdy w bloku G7 korekta następuje powoli. Powolne dostosowywanie się do równowagi w krajach grupy G7 sugeruje, że kryzys finansowy wpłynął na strukturę terminową stóp procentowych gdyż kraje G7 zostały bezpośrednio dotknięte kryzysem. (abstrakt oryginalny)

Słowa kluczowe

EN

Theory of expectations; Term structure of interest rates; Comparative analysis

PL

Teoria oczekiwań; Struktura terminowa stóp procentowych; Analiza porównawcza

• Czasopismo: Comparative Economic Research
• Rocznik: 2021
• Tom: 24
• Numer: nr 2
• Strony: 87--102

Twórcy

autor

Paul-Francois Muzindutsi

• School of Accounting, Economics and Finance University of KwaZulu-Natal University Road Westville, South Africa

autor

Sinethemba Mposelwa

• North-West University, Vanderbijlpark, South Africa

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Identyfikatory

DOI

10.18778/1508-2008.24.13