全球和国内因素对印度政府债券收益率的影响

IF 2.5 Q2 ECONOMICS
Shivam Sehgal, Jaspal Singh
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引用次数: 0

摘要

本文旨在对 1999-2021 年研究期内 10 年期、7 年期和 5 年期印度政府债券收益率的决定因素进行实证研究。为此,利用各种自变量建立了三个方程模型,以考虑相关的全球和国内驱动因素。使用 ARDL 模型对结果进行了估计,以确定债券收益率的长期和短期决定因素。研究结果表明,国内和全球因素对不同期限债券的长期和短期影响存在差异。印度政府债券收益率的长期驱动因素包括短期利率、经济政策不确定性、外汇储备、GDP 增长率、VIX 和石油价格。然而,在短期内,所有国内和全球变量都会影响债券收益率,包括外债、通货膨胀和一般政府债务,但这些变量在长期内不会影响收益率。这些研究结果对中央银行和政府在考虑全球风险情况下制定适当的货币和财政政策组合,以及对国际和国内投资者进行更好的投资组合分配具有重要的政策意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Impact of Global and Domestic Factors on Indian Government Bond Yields

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.

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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
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
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