Determinants of short-term interest rates in the Philippines : (an application of sargent's loanable funds model)

This paper investigates the effect of government deficit, inflation expectations, change in money supply, level of income, and the changes in the level of income, to the level of nominal short-term interest rates in the Philippines. Sargent's Loanable Funds Model was used as the initial model f...

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Main Author: Ong, Janone K.
Format: text
Language:English
Published: Animo Repository 1999
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Online Access:https://animorepository.dlsu.edu.ph/etd_masteral/1997
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Institution: De La Salle University
Language: English
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spelling oai:animorepository.dlsu.edu.ph:etd_masteral-88352021-01-25T08:02:55Z Determinants of short-term interest rates in the Philippines : (an application of sargent's loanable funds model) Ong, Janone K. This paper investigates the effect of government deficit, inflation expectations, change in money supply, level of income, and the changes in the level of income, to the level of nominal short-term interest rates in the Philippines. Sargent's Loanable Funds Model was used as the initial model for interest rates in the Philippines. Using unit root test and cointegration studies, inflation expectations and government deficits appeared to be the long-run determinants of interest rates. Test for structural breaks using Chow's test revealed that there was no structural break in the year 1986, which was believed to be the turning point for interest rate liberalization in the country. The study also showed that uncertainty, represented by a dummy variable, played a significant part in the movement of interest rates. To determine the effect of expectations on interest rate, an adaptive expectations model was used, where interest rate expectation is expressed as a distributed lag of the current rate. The exercise revealed that a one quarter lag on interest rate, inflationary expectations and uncertainty were the main determinants of short-term interest rate in the Philippines. 1999-01-01T08:00:00Z text https://animorepository.dlsu.edu.ph/etd_masteral/1997 Master's Theses English Animo Repository Determinants Interest rates -- Philippines Econometric models Loans Finance Public Econometrics Economic Theory Growth and Development
institution De La Salle University
building De La Salle University Library
continent Asia
country Philippines
Philippines
content_provider De La Salle University Library
collection DLSU Institutional Repository
language English
topic Determinants
Interest rates -- Philippines
Econometric models
Loans
Finance
Public
Econometrics
Economic Theory
Growth and Development
spellingShingle Determinants
Interest rates -- Philippines
Econometric models
Loans
Finance
Public
Econometrics
Economic Theory
Growth and Development
Ong, Janone K.
Determinants of short-term interest rates in the Philippines : (an application of sargent's loanable funds model)
description This paper investigates the effect of government deficit, inflation expectations, change in money supply, level of income, and the changes in the level of income, to the level of nominal short-term interest rates in the Philippines. Sargent's Loanable Funds Model was used as the initial model for interest rates in the Philippines. Using unit root test and cointegration studies, inflation expectations and government deficits appeared to be the long-run determinants of interest rates. Test for structural breaks using Chow's test revealed that there was no structural break in the year 1986, which was believed to be the turning point for interest rate liberalization in the country. The study also showed that uncertainty, represented by a dummy variable, played a significant part in the movement of interest rates. To determine the effect of expectations on interest rate, an adaptive expectations model was used, where interest rate expectation is expressed as a distributed lag of the current rate. The exercise revealed that a one quarter lag on interest rate, inflationary expectations and uncertainty were the main determinants of short-term interest rate in the Philippines.
format text
author Ong, Janone K.
author_facet Ong, Janone K.
author_sort Ong, Janone K.
title Determinants of short-term interest rates in the Philippines : (an application of sargent's loanable funds model)
title_short Determinants of short-term interest rates in the Philippines : (an application of sargent's loanable funds model)
title_full Determinants of short-term interest rates in the Philippines : (an application of sargent's loanable funds model)
title_fullStr Determinants of short-term interest rates in the Philippines : (an application of sargent's loanable funds model)
title_full_unstemmed Determinants of short-term interest rates in the Philippines : (an application of sargent's loanable funds model)
title_sort determinants of short-term interest rates in the philippines : (an application of sargent's loanable funds model)
publisher Animo Repository
publishDate 1999
url https://animorepository.dlsu.edu.ph/etd_masteral/1997
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