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Bond yield spreads and short-term interest rate movements


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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Abstract

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.

Item Type: Article
Uncontrolled Keywords: monetary policy, bond yields, term structure
Subjects: H Social Sciences > HJ Public Finance
Divisions: UNSPECIFIED
Depositing User: Mrs. Norazmilah Yaakub
Date Deposited: 29 Aug 2010 02:03
Last Modified: 29 Aug 2010 02:03
URI: http://repo.uum.edu.my/id/eprint/362

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