Structural breaks in the interest rate of selected East-Asian countries

This paper explores the timing of structural breaks in the interest rate of seven East-Asian countries namely Indonesia, Japan, Korea, Malaysia, Philippines, Singapore and Thailand. The Sup-Wald test proposed by Vogelsang (1997) is used to analyze quarterly data on the money market rate, Treasury bill rate and call money rate over the period of 1981-2006. A significant structural shift is found during the 1997 Asian Financial crisis for Indonesia, Korea, Malaysia and Thailand. The interest rate of Singapore did not experience any structural change. The interest rate of Japan shifted significantly in the early 1990s and the interest rate of Philippines in 1984 following monetary adjustment in response to crisis in the economy of these countries.