{"title":"全球和国内因素对印度政府债券收益率的影响","authors":"Shivam Sehgal, Jaspal Singh","doi":"10.1007/s10690-024-09459-6","DOIUrl":null,"url":null,"abstract":"<p>The article aims to empirically examine the determinants of the 10-, 7-, and 5-year Indian government bond yields over the study period of 1999–2021. For this purpose, three equations were modeled using various independent variables to account for relevant global and domestic drivers. The results were estimated using the ARDL model to identify the long and short-run determinants of the bond yields. The findings demonstrate differences between domestic and global factors' long- and short-term effects across various bond maturities. The long-run drivers of Indian government bond yields include short-term interest rates, economic policy uncertainty, foreign exchange reserves, GDP growth rate, VIX, and oil prices. However, in the short run, all the domestic and global variables affected the bond yields, including external debt, inflation, and general government debt, which did not impact the yields in the long run. These findings have substantial policy implications for the central bank and government in formulating appropriate monetary and fiscal policy mixes while considering global risk scenarios and also for the international and domestic investors for better portfolio allocation.</p>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.5000,"publicationDate":"2024-05-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Impact of Global and Domestic Factors on Indian Government Bond Yields\",\"authors\":\"Shivam Sehgal, Jaspal Singh\",\"doi\":\"10.1007/s10690-024-09459-6\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>The article aims to empirically examine the determinants of the 10-, 7-, and 5-year Indian government bond yields over the study period of 1999–2021. For this purpose, three equations were modeled using various independent variables to account for relevant global and domestic drivers. The results were estimated using the ARDL model to identify the long and short-run determinants of the bond yields. The findings demonstrate differences between domestic and global factors' long- and short-term effects across various bond maturities. The long-run drivers of Indian government bond yields include short-term interest rates, economic policy uncertainty, foreign exchange reserves, GDP growth rate, VIX, and oil prices. However, in the short run, all the domestic and global variables affected the bond yields, including external debt, inflation, and general government debt, which did not impact the yields in the long run. These findings have substantial policy implications for the central bank and government in formulating appropriate monetary and fiscal policy mixes while considering global risk scenarios and also for the international and domestic investors for better portfolio allocation.</p>\",\"PeriodicalId\":54095,\"journal\":{\"name\":\"Asia-Pacific Financial Markets\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.5000,\"publicationDate\":\"2024-05-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asia-Pacific Financial Markets\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1007/s10690-024-09459-6\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s10690-024-09459-6","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Impact of Global and Domestic Factors on Indian Government Bond Yields
The article aims to empirically examine the determinants of the 10-, 7-, and 5-year Indian government bond yields over the study period of 1999–2021. For this purpose, three equations were modeled using various independent variables to account for relevant global and domestic drivers. The results were estimated using the ARDL model to identify the long and short-run determinants of the bond yields. The findings demonstrate differences between domestic and global factors' long- and short-term effects across various bond maturities. The long-run drivers of Indian government bond yields include short-term interest rates, economic policy uncertainty, foreign exchange reserves, GDP growth rate, VIX, and oil prices. However, in the short run, all the domestic and global variables affected the bond yields, including external debt, inflation, and general government debt, which did not impact the yields in the long run. These findings have substantial policy implications for the central bank and government in formulating appropriate monetary and fiscal policy mixes while considering global risk scenarios and also for the international and domestic investors for better portfolio allocation.
期刊介绍:
The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering.
Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome.
Officially cited as: Asia-Pac Financ Markets