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https://repositorio.ufba.br/handle/ri/28309
metadata.dc.type: | Artigo de Periódico |
Title: | Testing the liquidity preference hypothesis using survey forecasts |
Other Titles: | Emerging Markets Review |
Authors: | Ornelas, José Renato Haas Silva Júnior, Antônio Francisco de Almeida da |
metadata.dc.creator: | Ornelas, José Renato Haas Silva Júnior, Antônio Francisco de Almeida da |
Abstract: | We evaluate the liquidity preference hypothesis (LPH) for the term structure of interest rates in a different way. Instead of using bond returns as traditional approaches, we use interest rate surveys with market expectations in order to evaluate LPH. This approach allows us to disentangle the effect of the changes in interest rate expectations from the liquidity premium. We found empirical support for the LPH with Brazilian data using bothtraditional and survey methods. However, the evaluation with interest rate surveys gives a higher statistical confidence level than the traditional approach when we perform tests for termpremium monotonicity. |
Keywords: | Liquidity preference hypothesis Interest rates Term premium Survey forecast |
metadata.dc.publisher.country: | Brasil |
Publisher: | ELSEVIER |
metadata.dc.rights: | Acesso Aberto |
URI: | http://repositorio.ufba.br/ri/handle/ri/28309 |
Issue Date: | 2015 |
Appears in Collections: | Artigo Publicado em Periódico (NPGA) |
Files in This Item:
File | Description | Size | Format | |
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Testing the liquidity preference hypothesis using survey forecasts.pdf | 359,48 kB | Adobe PDF | View/Open |
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