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Impact of market expectations on the U.S. interest rate lift-off in ASEAN-5 financial system

During 2015–2016, the market has lowered its expectations on the pace and magnitude of U.S. interest rate lift-off, which should have reduced capital outflow and supported the ASEAN-5 financial markets. Yet, the ASEAN-5 financial markets have recorded mixed fortunes, possibly due to spikes in global...

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Main Authors: Ooi, Teik-Khim, Lau, Wee-Yeap
Format: Article
Published: Springer 2021
Subjects:
HB Economic Theory
Online Access:http://eprints.um.edu.my/35661/
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089038131&doi=10.1007%2fs10690-020-09314-4&partnerID=40&md5=6eec0caac29ec8276af8566c04d6648d
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spelling my.um.eprints.356612022-10-28T07:13:18Z http://eprints.um.edu.my/35661/ Impact of market expectations on the U.S. interest rate lift-off in ASEAN-5 financial system Ooi, Teik-Khim Lau, Wee-Yeap HB Economic Theory During 2015–2016, the market has lowered its expectations on the pace and magnitude of U.S. interest rate lift-off, which should have reduced capital outflow and supported the ASEAN-5 financial markets. Yet, the ASEAN-5 financial markets have recorded mixed fortunes, possibly due to spikes in global risk (proxied by CBOE VIX index). Against the contrasting background of higher global risk and gradual interest rate lift-off, this paper investigates the impact of market expectations on U.S. interest rate on the ASEAN-5 financial markets. This paper concludes that both global risk and market expectations on interest rate lift-off affect the ASEAN-5 financial markets, whereby the negative effect of higher global risk dominates the positive effect of market expectations of gradual interest rate lift-off in the ASEAN-5 currencies and equity markets. However, it is the reverse in the ASEAN-5 sovereign bonds as the positive impact of market expectations of more gradual interest rate lift-off dominates the negative effect of higher global risk. © 2020, Springer Japan KK, part of Springer Nature. Springer 2021-06 Article PeerReviewed Ooi, Teik-Khim and Lau, Wee-Yeap (2021) Impact of market expectations on the U.S. interest rate lift-off in ASEAN-5 financial system. Asia-Pacific Financial Markets, 28 (2). pp. 243-271. ISSN 1387-2834, DOI https://doi.org/10.1007/s10690-020-09314-4 <https://doi.org/10.1007/s10690-020-09314-4>. https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089038131&doi=10.1007%2fs10690-020-09314-4&partnerID=40&md5=6eec0caac29ec8276af8566c04d6648d 10.1007/s10690-020-09314-4
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic HB Economic Theory
spellingShingle HB Economic Theory
Ooi, Teik-Khim
Lau, Wee-Yeap
Impact of market expectations on the U.S. interest rate lift-off in ASEAN-5 financial system
description During 2015–2016, the market has lowered its expectations on the pace and magnitude of U.S. interest rate lift-off, which should have reduced capital outflow and supported the ASEAN-5 financial markets. Yet, the ASEAN-5 financial markets have recorded mixed fortunes, possibly due to spikes in global risk (proxied by CBOE VIX index). Against the contrasting background of higher global risk and gradual interest rate lift-off, this paper investigates the impact of market expectations on U.S. interest rate on the ASEAN-5 financial markets. This paper concludes that both global risk and market expectations on interest rate lift-off affect the ASEAN-5 financial markets, whereby the negative effect of higher global risk dominates the positive effect of market expectations of gradual interest rate lift-off in the ASEAN-5 currencies and equity markets. However, it is the reverse in the ASEAN-5 sovereign bonds as the positive impact of market expectations of more gradual interest rate lift-off dominates the negative effect of higher global risk. © 2020, Springer Japan KK, part of Springer Nature.
format Article
author Ooi, Teik-Khim
Lau, Wee-Yeap
author_facet Ooi, Teik-Khim
Lau, Wee-Yeap
author_sort Ooi, Teik-Khim
title Impact of market expectations on the U.S. interest rate lift-off in ASEAN-5 financial system
title_short Impact of market expectations on the U.S. interest rate lift-off in ASEAN-5 financial system
title_full Impact of market expectations on the U.S. interest rate lift-off in ASEAN-5 financial system
title_fullStr Impact of market expectations on the U.S. interest rate lift-off in ASEAN-5 financial system
title_full_unstemmed Impact of market expectations on the U.S. interest rate lift-off in ASEAN-5 financial system
title_sort impact of market expectations on the u.s. interest rate lift-off in asean-5 financial system
publisher Springer
publishDate 2021
url http://eprints.um.edu.my/35661/
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089038131&doi=10.1007%2fs10690-020-09314-4&partnerID=40&md5=6eec0caac29ec8276af8566c04d6648d
_version_ 1748181090286174208
score 13.211869

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