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The impact of changes in financial and macroeconomic variables on term structure of interest rates in Malaysia

Based on time series model, the connection between term structures of interest rate, financial and macroeconomic variables is explored for Malaysia from 1997Q1 to 2009Q2. The behavior of maturity spreads is examined in detail and regression model is established using Ordinary Least Square (OLS) meth...

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Main Authors: Ong, Tze San, Lai, Ngan Yoke, Teh, Boon Heng
Format: Article
Published: Human Resource Management Academic Research Society 2012
Online Access:http://psasir.upm.edu.my/id/eprint/22835/
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spelling my.upm.eprints.228352015-07-27T02:45:27Z http://psasir.upm.edu.my/id/eprint/22835/ The impact of changes in financial and macroeconomic variables on term structure of interest rates in Malaysia Ong, Tze San Lai, Ngan Yoke Teh, Boon Heng Based on time series model, the connection between term structures of interest rate, financial and macroeconomic variables is explored for Malaysia from 1997Q1 to 2009Q2. The behavior of maturity spreads is examined in detail and regression model is established using Ordinary Least Square (OLS) method. The findings show that some macroeconomic variables do not have significant impact on maturity spreads. The money supply affect maturity spread positively while current account influence maturity spread negatively. The other variables, namely stock market return, gross domestic product, industrial production index, inflation rate and trade balance, have no relations with maturity spread. Future work should seek out the effects of maturity spreads on macroeconomic conditions. Human Resource Management Academic Research Society 2012-01 Article PeerReviewed Ong, Tze San and Lai, Ngan Yoke and Teh, Boon Heng (2012) The impact of changes in financial and macroeconomic variables on term structure of interest rates in Malaysia. International Journal of Academic Research in Business and Social Sciences, 2 (1). pp. 364-387. ISSN 2222-6990
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
description Based on time series model, the connection between term structures of interest rate, financial and macroeconomic variables is explored for Malaysia from 1997Q1 to 2009Q2. The behavior of maturity spreads is examined in detail and regression model is established using Ordinary Least Square (OLS) method. The findings show that some macroeconomic variables do not have significant impact on maturity spreads. The money supply affect maturity spread positively while current account influence maturity spread negatively. The other variables, namely stock market return, gross domestic product, industrial production index, inflation rate and trade balance, have no relations with maturity spread. Future work should seek out the effects of maturity spreads on macroeconomic conditions.
format Article
author Ong, Tze San
Lai, Ngan Yoke
Teh, Boon Heng
spellingShingle Ong, Tze San
Lai, Ngan Yoke
Teh, Boon Heng
The impact of changes in financial and macroeconomic variables on term structure of interest rates in Malaysia
author_facet Ong, Tze San
Lai, Ngan Yoke
Teh, Boon Heng
author_sort Ong, Tze San
title The impact of changes in financial and macroeconomic variables on term structure of interest rates in Malaysia
title_short The impact of changes in financial and macroeconomic variables on term structure of interest rates in Malaysia
title_full The impact of changes in financial and macroeconomic variables on term structure of interest rates in Malaysia
title_fullStr The impact of changes in financial and macroeconomic variables on term structure of interest rates in Malaysia
title_full_unstemmed The impact of changes in financial and macroeconomic variables on term structure of interest rates in Malaysia
title_sort impact of changes in financial and macroeconomic variables on term structure of interest rates in malaysia
publisher Human Resource Management Academic Research Society
publishDate 2012
url http://psasir.upm.edu.my/id/eprint/22835/
_version_ 1643827903326060544
score 13.211869

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