scholarly journals The Long-Run Determinants of Indian Government Bond Yields

2019 ◽  
Vol 36 (1) ◽  
pp. 168-205 ◽  
Author(s):  
Tanweer Akram ◽  
Anupam Das
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Indian Government ◽  
Bond Yield ◽  
Long Run ◽  
Key Driver ◽  
The Government

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.

A Note Concerning the Dynamics of Government Bond Yields

2021 ◽  
pp. 056943452098827
Author(s):  
Tanweer Akram
Keyword(s):  
Interest Rate ◽  
Financial Markets ◽  
Yield Curve ◽  
Empirical Studies ◽  
State Theory ◽  
Government Bond ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds

Keynes argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve mainly through the short-term interest rate. Several recent empirical studies that examine the dynamics of government bond yields not only substantiate Keynes’s view that the long-term interest rate responds markedly to the short-term interest rate but also have relevance for macroeconomic theory and policy. This article relates Keynes’s discussions of money, the state theory of money, financial markets, investors’ expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Investors’ psychology, herding behavior in financial markets, and uncertainty about the future reinforce the effects of the short-term interest rate and the central bank’s monetary policy actions on the long-term interest rate. JEL classifications: E12; E40; E43; E50; E58; E60; F30; G10; G12; H62; H63

scholarly journals Modeling The Relationships Between Export, Import, Inflation, Interest Rate, and Rupiah Exchange

2020 ◽  
Vol 3 (3) ◽  
pp. 247-262
Author(s):  
Nina Valentika ◽  
Vivi Iswanti Nursyirwan ◽  
Ilmadi Ilmadi
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Short Term ◽  
Variable Model ◽  
Causality Test ◽  
Significance Level ◽  
Long Run

This research was a modification of research by Catalbas (2016) and Pratikto (2012). The model that can separate long-term and short-term components are the Vector Error Correction Model (VECM). This study aimed to model export, import, inflation, interest rates, and the rupiah exchange rate using VECM and to test the causality between variables using the Granger Causality test. The inter-variable model obtained in this study was VECM with lag 2 using a deterministic trend with the assumption of none intercept no trend and two cointegrations. In export and import, there was an adjustment mechanism from the short-term to the long-term. This research model was appropriate to forecast the export and import where VECM with export and import as the target variables, the cointegration equation (long-run model) for  cointegration equation (long-run model) for Based on the Granger Causality test, it was found that there was a one-way relationship between exchange rates and inflation, export and interest rates, export and import, inflation and export, and import and the interest rate at the significance level of 5%.

scholarly journals An empirical analysis of long-term Brazilian interest rates

PLoS ONE ◽  
2021 ◽  
Vol 16 (9) ◽  
pp. e0257313
Author(s):  
Tanweer Akram ◽  
Syed Al-Helal Uddin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Policy Implications ◽  
Government Bond ◽  
Short Term ◽  
Monetary Policies ◽  
Government Bonds ◽  
Macroeconomic Variables ◽  
Brazilian Government

This paper empirically models the dynamics of Brazilian government bond (BGB) yields based on monthly macroeconomic data, in the context of the evolution of the key macroeconomic variables in Brazil. The results show that the current short-term interest rate has a decisive influence on the long-term interest rate on BGBs, after controlling for various key macroeconomic variables, such as inflation and industrial production. These findings support John Maynard Keynes’s claim that the central bank’s actions influence the long-term interest rate on government bonds mainly through the current short-term interest rate. These findings have important policy implications for Brazil. This paper relates the findings of the estimated models to ongoing debates in fiscal and monetary policies.

Drivers of Sovereign Bond Yields in India

2021 ◽  
Keyword(s):  
Crude Oil Price ◽  
Bond Yields ◽  
Economic Stability ◽  
Short Term ◽  
Monthly Data ◽  
Financial Variables ◽  
Sovereign Bond ◽  
Bond Yield ◽  
Long Run ◽  
Market Fundamentals

This study analyzed the behavior of the ten-year nominal sovereign bond yield in India with respect to a host of factors, especially for a decade when economic growth alters considerably with time. The vector autoregression methodology (VAR) was applied to the monthly data of economic and financial variables from January 2012 to March 2020. The findings suggested that long-run sovereign bond yield behavior was primarily driven by domestic fundamentals, including money market fundamentals. A rise in the 91-day treasury bill lagged the value of the bond yield, and inflation exert significant upward pressure on the ten year domestic sovereign bond yields. International factors such as exchange rate and crude oil price exert significant but mild influence. Another finding was affirmed that short-term domestic bond yield movements significantly determined long-run domestic bond yields. From an overall policy perspective, it becomes important to maintain domestic economic stability to manage fiscal and debt sustainability.

scholarly journals Analisis Faktor-Faktor yang Mempengaruhi Nilai Tukar Rupiah Periode 1999Q1-2019Q2

2020 ◽  
Vol 11 (2) ◽  
pp. 197-209
Author(s):  
Erric Wijaya
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Inflation Rate ◽  
Oil Prices ◽  
Short Term ◽  
Long Run ◽  
The Exchange Rate ◽  
The Interest Rate

The exchange rate plays an important role in influencing the level of Indonesia's international trade towards trading partner countries. This study discusses the factors that influence the exchange rate of the rupiah against dollar both in the short and long term. The variables that are suspected to influence changes in exchange rates are the inflation rate, the interest rate (SBI), world oil prices, the value of exports, and the value of imports. This research was conducted during 1999 quarter 1 to 2019 quarter 2. The results showed that there was a long-term and short-term relationship between inflation rates, interest rates, world oil prices, exports and imports to the exchange rate. In the short term, the interest rate and world oil prices have a significant effect on the exchange rate. In the long run, the inflation rate, world oil prices and imports have a significant effect on the exchange rate.

scholarly journals Analisis Pengaruh Likuiditas, Faktor Fundamental Ekonomi Makro Dan Faktor Eksternal Terhadap Imbal Hasil Surat Utang Negara (Seri FR0031)

2019 ◽  
Vol 2 (1) ◽  
pp. 46
Author(s):  
Deandra Aulia
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Sovereign Debt ◽  
Secondary Data ◽  
Debt Management ◽  
Short Term ◽  
Fixed Rate ◽  
Negative Effect ◽  
The Government

The government reopened the series FR0031 sovereign debt at the beginning of January 2010 through the Bank Indonesia auction system. The offered interest rate same as the beginning when the government issued FR0031 series debt securities, fixed rate of 11% but over time yield or yield in the form of coupons received by investors are fluctuating.               The aims of this research is to analyze the short term and long term influence of liquidity, interest rate, inflation, GDP, and exchange rate to imbal hasil National Bond (SUN) in the year of 2010 – 2017. This research using quarterly data of 2010 – 2017 for each variable. Data in this study is secondary data time series which provide by Bloomberg, Bank Indonesia, BPS and publication of Directorate General of Debt Management. The methode which used in this research is Error Correction Model. The result shows that variable inflation, GDP and exchange rate significantly positive effect in otherhand liquidity and interset rate significantly negative effect on Imbal hasil Curve SUN in long term. Judging by the value of the R square was 0.906314 it means 90.63% of imbal hasil explainable by independent variables used in this research the rest 9.37% explained by other factors. Based on the regression results there is no variable that significant in the short term with R square of 0.341939 which means the independent variable is able to explain 34.19% and 65.81% variation of the dependent variable

AUSTRALIAN GOVERNMENT BONDS’ NOMINAL YIELDS: A KEYNESIAN PERSPECTIVE

2020 ◽  
Vol 15 (01) ◽  
pp. 2050003
Author(s):  
TANWEER AKRAM ◽  
ANUPAM DAS
Keyword(s):  
Interest Rate ◽  
Government Bond ◽  
Australian Government ◽  
Bond Yields ◽  
Short Term ◽  
Government Bonds ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Ardl Approach ◽  
Main Driver

This paper empirically models the dynamics of Australian government bonds’ nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts a decisive influence on government bond yields because the central bank’s policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term government bonds’ nominal yields. The estimated models show that the short-term interest rate is the main driver of Australian government bonds’ nominal yields. These results imply that Keynes’s conjecture applies in the case of Australian government bonds’ nominal yields. Furthermore, the effect of the budget balance ratio on government bond yields is small though statistically significant. There is no statistically discernable effect of the debt ratio on government bond yields.

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