The Information Content of the Term Structure of Interest Rates in Emerging Economies: The Case of Thailand. (August 2017)

• Record Type: Journal Article
• Authors: Paweenawat, Archawa
• Is Part Of: Journal of emerging market finance. Volume 16:Number 2(2017:May/Aug.)
• Page Start: 136
• Page End: 150
• Publication Date: 2017-08
• Subjects: Emerging economies -- expectation hypothesis -- forecast -- term structure of interest rates -- yield curve; Banks and banking -- Developing countries -- Periodicals; Financial institutions -- Developing countries -- Periodicals; Securities -- Developing countries -- Periodicals; 332.09172405
• DOI: 10.1177/0972652717712371
• Languages: English
• ISSNs: 0972-6527

Abstract

This article studies the information content of the term structure of interest rates of Thai government bonds. Using monthly data from July 2001 to December 2013, this article tests whether the term structure contains information about future interest rates, inflation and gross domestic product (GDP) growth. The results suggest that, despite the low liquidity of the Thai government bond market, the term structure contains considerable information about future interest rates and GDP growth. JEL Classification: E43, E44, G12