The Long-Run Determinants of Indian Government Bond Yields PDF Download
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Author: Tanweer Akram
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
This paper investigates the long-term determinants of the nominal yields of Indian government bonds (IGBs). It examines whether John Maynard Keynes' supposition that the short-term interest rate is the key driver of the long-term government bond yield holds over the long run, after controlling for key economic factors. It also appraises if the government fiscal variable has an adverse effect on government bond yields over the long run. The models estimated in this paper show that in India the short-term interest rate is the key driver of the long-term government bond yield over the long run. However, the government debt ratio does not have any discernible adverse effect on IGB yields over the long run. These findings will help policy makers to (i) use information on the current trend of the short-term interest rate and other key macro variables to form their long-term outlook about IGB yields, and (ii) understand the policy implications of the government's fiscal stance.
Author: Tanweer Akram
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
This paper investigates the long-term determinants of the nominal yields of Indian government bonds (IGBs). It examines whether John Maynard Keynes' supposition that the short-term interest rate is the key driver of the long-term government bond yield holds over the long run, after controlling for key economic factors. It also appraises if the government fiscal variable has an adverse effect on government bond yields over the long run. The models estimated in this paper show that in India the short-term interest rate is the key driver of the long-term government bond yield over the long run. However, the government debt ratio does not have any discernible adverse effect on IGB yields over the long run. These findings will help policy makers to (i) use information on the current trend of the short-term interest rate and other key macro variables to form their long-term outlook about IGB yields, and (ii) understand the policy implications of the government's fiscal stance.
Author: Tanweer Akram
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 32
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Book Description
Author: Paul Sundell
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 20
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Book Description
Author: Kishore Rathi
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Book Description
Yield on Government Bonds form the benchmark “risk free rate of return” for the pricing of all financial assets and their derivatives. Yield spread of government bonds is an indicator of efficiency of the treasury market, which is essential for an effective monetary policy. This is one of the first papers on Indian government bond market, with specific focus on yield spread. Using the NSE's N-S method based ZCYC, and including 186,279 bond trades, over the period 2006-2012, this paper attempts to identify the determinants of yield spread of Government of India Bonds, controlling for various bond specific characteristics. Additionally it also examines the interaction of illiquidity, maturity in both normal, and crisis periods, and analyses the weekly changes in spread to explore the presence of AR(1) process in weekly changes. This paper finds that trades, trade interval, turnover, and coupon are the key determinants of yield spread in the Government of India bond market. Turnover with a negative coefficient of -137 bp, has the maximum impact on spread. Outstanding volume has a positive impact on higher duration trades during crisis period and a negative impact during the normal period. While examining the determinants of changes in yield spread, it is found that previous week's change in spread has a significant dampening effect. Further the changes in yield spread are positively influenced by trading volume and price dispersion measure, and negatively by changes in spread. Counter intuitively changes in trade interval negatively and significantly influence the changes in yield spreads.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Kenneth Larry Hastie
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 316
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Book Description
Author: Mahmood Pradhan
Publisher: International Monetary Fund
ISBN: 1463935129
Category : Business & Economics
Languages : en
Pages : 45
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Book Description
Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience interested in economic policy issues. This Web-only series replaced Staff Position Notes in January 2011.
Author: Laurent Ferrara
Publisher: Springer
ISBN: 3319790757
Category : Business & Economics
Languages : en
Pages : 300
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Book Description
This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
Author: Alexis Stenfors
Publisher: Routledge
ISBN: 0429629613
Category : Business & Economics
Languages : en
Pages : 217
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Book Description
Since the financial crisis of 2008-09, central bankers around the world have been forced to abandon conventional monetary policy tools in favour of unconventional policies such as quantitative easing, forward guidance, lowering the interest rate paid on bank reserves into negative territory, and pushing up prices of government bonds. Having faced a crisis in its banking sector nearly a decade earlier, Japan was a pioneer in the use of many of these tools. Unconventional Monetary Policy and Financial Stability critically assesses the measures used by Japan and examines what they have meant for the theory and practice of economic policy. The book shows how in practice unconventional monetary policy has worked through its impact on the financial markets. The text aims to generate an understanding of why such measures were introduced and how the Japanese system has subsequently changed regarding aspects such as governance and corporate balance sheets. It provides a comprehensive study of developments in Japanese money markets with the intent to understand the impact of policy on the debt structures that appear to have caused Japan’s deflation. The topics covered range from central bank communication and policymaking to international financial markets and bank balance sheets. This text is of great interest to students and scholars of banking, international finance, financial markets, political economy, and the Japanese economy.
Author: Mr.Ralph Chami
Publisher: International Monetary Fund
ISBN: 1513531867
Category : Business & Economics
Languages : en
Pages : 26
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Book Description
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
