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

Paul‑Francois Muzindutsi; Sinethemba Mposelwa

doi:10.18778/1508-2008.24.13

Autor

Paul‑Francois Muzindutsi Ph.D., Associate Professor, School of Accounting, Economics and Finance University of KwaZulu‑Nata, Durban, South Africa https://orcid.org/0000-0002-4819-8218
Sinethemba Mposelwa School of Economic Sciences, North‑West University, Vanderbijlpark, South Africa https://orcid.org/0000-0001-6010-5849

DOI:

https://doi.org/10.18778/1508-2008.24.13

Słowa kluczowe:

Hipoteza oczekiwań, model panelowy ARDL, G7, BRICS, struktura terminowa

Abstrakt

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.

Pobrania

Brak dostępnych danych do wyświetlenia.

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