Impact of Market Expectations on the US Interest Rate Lift-Off in ASEAN-5 Financial System

被引：1
|
作者：
Ooi, Teik-Khim [1 ]
Lau, Wee-Yeap [2 ]
机构：
[1] Nanyang Technol Univ, S Rajaratnam Sch Int Studies, Singapore, Singapore
[2] Univ Malaya, Fac Econ & Adm, Kuala Lumpur, Malaysia
来源：
ASIA-PACIFIC FINANCIAL MARKETS | 2021年 / 28卷 / 02期
关键词：
U; S; interest rate; Federal funds futures; Non-farm payroll; ASEAN; Quantitative easing;
D O I：
10.1007/s10690-020-09314-4
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：243 / 271
页数：29
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