Testing the liquidity preference hypothesis using survey forecasts

Detalhes bibliográficos
Autor(a) principal: Ornelas, José Renato Haas
Data de Publicação: 2015
Outros Autores: Silva Júnior, Antônio Francisco de Almeida da
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UFBA
Texto Completo: http://repositorio.ufba.br/ri/handle/ri/28309
Resumo: 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.
id UFBA-2_6f7c6a39faa0ed8adc66f5239381dde4
oai_identifier_str oai:repositorio.ufba.br:ri/28309
network_acronym_str UFBA-2
network_name_str Repositório Institucional da UFBA
repository_id_str 1932
spelling Ornelas, José Renato HaasSilva Júnior, Antônio Francisco de Almeida da2019-01-07T18:19:29Z2019-01-07T18:19:29Z20151566-0141http://repositorio.ufba.br/ri/handle/ri/28309v. 23, p. 173–185We 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.Submitted by Núcleo de Pós-Graduação Administração (npgadm@ufba.br) on 2018-11-13T20:20:40Z No. of bitstreams: 1 Testing the liquidity preference hypothesis using survey forecasts.pdf: 368107 bytes, checksum: e26d126ea0d68f99cf08c1d83a82d9fe (MD5)Approved for entry into archive by Maria Angela Dortas (dortas@ufba.br) on 2019-01-07T18:19:29Z (GMT) No. of bitstreams: 1 Testing the liquidity preference hypothesis using survey forecasts.pdf: 368107 bytes, checksum: e26d126ea0d68f99cf08c1d83a82d9fe (MD5)Made available in DSpace on 2019-01-07T18:19:29Z (GMT). No. of bitstreams: 1 Testing the liquidity preference hypothesis using survey forecasts.pdf: 368107 bytes, checksum: e26d126ea0d68f99cf08c1d83a82d9fe (MD5) Previous issue date: 2015ELSEVIERBrasilhttp://dx.doi.org/10.1016/j.ememar.2015.04.006reponame:Repositório Institucional da UFBAinstname:Universidade Federal da Bahia (UFBA)instacron:UFBALiquidity preference hypothesisInterest ratesTerm premiumSurvey forecastTesting the liquidity preference hypothesis using survey forecastsEmerging Markets Reviewinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccessengORIGINALTesting the liquidity preference hypothesis using survey forecasts.pdfTesting the liquidity preference hypothesis using survey forecasts.pdfapplication/pdf368107https://repositorio.ufba.br/bitstream/ri/28309/1/Testing%20the%20liquidity%20preference%20hypothesis%20using%20survey%20forecasts.pdfe26d126ea0d68f99cf08c1d83a82d9feMD51LICENSElicense.txtlicense.txttext/plain1345https://repositorio.ufba.br/bitstream/ri/28309/2/license.txt0d4b811ef71182510d2015daa7c8a900MD52TEXTTesting the liquidity preference hypothesis using survey forecasts.pdf.txtTesting the liquidity preference hypothesis using survey forecasts.pdf.txtExtracted texttext/plain46566https://repositorio.ufba.br/bitstream/ri/28309/3/Testing%20the%20liquidity%20preference%20hypothesis%20using%20survey%20forecasts.pdf.txt683571b6f74a679b2a3a6aa7a6f2f66eMD53ri/283092022-03-09 20:40:34.547oai:repositorio.ufba.br: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Repositório InstitucionalPUBhttp://192.188.11.11:8080/oai/requestopendoar:19322022-03-09T23:40:34Repositório Institucional da UFBA - Universidade Federal da Bahia (UFBA)false
dc.title.pt_BR.fl_str_mv Testing the liquidity preference hypothesis using survey forecasts
dc.title.alternative.pt_BR.fl_str_mv Emerging Markets Review
title Testing the liquidity preference hypothesis using survey forecasts
spellingShingle Testing the liquidity preference hypothesis using survey forecasts
Ornelas, José Renato Haas
Liquidity preference hypothesis
Interest rates
Term premium
Survey forecast
title_short Testing the liquidity preference hypothesis using survey forecasts
title_full Testing the liquidity preference hypothesis using survey forecasts
title_fullStr Testing the liquidity preference hypothesis using survey forecasts
title_full_unstemmed Testing the liquidity preference hypothesis using survey forecasts
title_sort Testing the liquidity preference hypothesis using survey forecasts
author Ornelas, José Renato Haas
author_facet Ornelas, José Renato Haas
Silva Júnior, Antônio Francisco de Almeida da
author_role author
author2 Silva Júnior, Antônio Francisco de Almeida da
author2_role author
dc.contributor.author.fl_str_mv Ornelas, José Renato Haas
Silva Júnior, Antônio Francisco de Almeida da
dc.subject.por.fl_str_mv Liquidity preference hypothesis
Interest rates
Term premium
Survey forecast
topic Liquidity preference hypothesis
Interest rates
Term premium
Survey forecast
description 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.
publishDate 2015
dc.date.issued.fl_str_mv 2015
dc.date.accessioned.fl_str_mv 2019-01-07T18:19:29Z
dc.date.available.fl_str_mv 2019-01-07T18:19:29Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://repositorio.ufba.br/ri/handle/ri/28309
dc.identifier.issn.none.fl_str_mv 1566-0141
dc.identifier.number.pt_BR.fl_str_mv v. 23, p. 173–185
identifier_str_mv 1566-0141
v. 23, p. 173–185
url http://repositorio.ufba.br/ri/handle/ri/28309
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv ELSEVIER
dc.publisher.country.fl_str_mv Brasil
publisher.none.fl_str_mv ELSEVIER
dc.source.pt_BR.fl_str_mv http://dx.doi.org/10.1016/j.ememar.2015.04.006
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFBA
instname:Universidade Federal da Bahia (UFBA)
instacron:UFBA
instname_str Universidade Federal da Bahia (UFBA)
instacron_str UFBA
institution UFBA
reponame_str Repositório Institucional da UFBA
collection Repositório Institucional da UFBA
bitstream.url.fl_str_mv https://repositorio.ufba.br/bitstream/ri/28309/1/Testing%20the%20liquidity%20preference%20hypothesis%20using%20survey%20forecasts.pdf
https://repositorio.ufba.br/bitstream/ri/28309/2/license.txt
https://repositorio.ufba.br/bitstream/ri/28309/3/Testing%20the%20liquidity%20preference%20hypothesis%20using%20survey%20forecasts.pdf.txt
bitstream.checksum.fl_str_mv e26d126ea0d68f99cf08c1d83a82d9fe
0d4b811ef71182510d2015daa7c8a900
683571b6f74a679b2a3a6aa7a6f2f66e
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
repository.name.fl_str_mv Repositório Institucional da UFBA - Universidade Federal da Bahia (UFBA)
repository.mail.fl_str_mv
_version_ 1808459578832060416

Registros relacionados