The Long-Run Determinants of Indian Government Bond Yields

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Anupam Das Mount Royal University January 2017* Tanweer Akram is director of global public policy and economics at Thrivent Financial. Anupam Das is associate professor in the department of economics, justice, and policy studies at Mount Royal University, Alberta, Canada. Disclaimer: The authors' institutional affiliations are provided solely for identification purposes. Views expressed are solely those of the authors and the standard disclaimer applies. The views are not necessarily those of Thrivent Financial, Thrivent Investment Management, or any affiliates. This is for information purposes only and should not be construed as an offer to buy or sell any investment product or service. Disclosure: Akram's employer, Thrivent Financial, invests in a wide range of securities. Asset management services are provided by Thrivent Asset Management, LLC, a wholly owned subsidiary of Thrivent Financial for Lutherans. Note: The data set used in the empirical part of this paper is available upon request to bona fide researchers for replication and verification of the results.The Levy Economics Institute Working Paper Collection presents research in progress by Levy Institute scholars and conference participants. The purpose of the series is to disseminate ideas to and elicit comments from academics and professionals.Levy Economics Institute of Bard College, founded in 1986, is a nonprofit, nonpartisan, independently funded research organization devoted to public service. Through scholarship and economic research it generates viable, effective public policy responses to important economic problems that profoundly affect the quality of life in the United States and abroad. ABSTRACTThis paper investigates the long-term determinants of Indian government bonds' (IGB) nominal yields. It examines whether John Maynard Keynes's supposition that short-term interest rates are the key driver of long-term government bond yields holds over the long-run horizon, after controlling for various key economic factors such as inflationary pressure and measures of economic activity. It also appraises whether the government finance variable-the ratio of government debt to nominal income-has an adverse effect on government bond yields over a long-run horizon. The models estimated here show that in India, short-term interest rates are the key driver of long-term government bond yields over the long run. However, the ratio of government debt and nominal income d...

Multifactor Keynesian models of the long-term interest rate

“…Econometric analysis of the data in several emerging markets shows that the relationship between the short-term interest rate and the long-term interest rate also holds there. Akram and Das (2019) and Vinod, Chakraborty, and Karun (2014) provide evidence of this for India, while Akram andUddin (2020, 2021) do so for two key Latin American countries, namely Brazil and Mexico. The overall evidence from recent empirical studies, which shows that the short-term interest rate and the long-term interest rate are usually strongly correlated, suggests that multifactor Keynesian models can enrich the theoretical understanding of the long-term interest rate's dynamics and their relationships with fundamental macroeconomic and financial variables.…”

The (De)merits of using Integral Transforms in Predicting Structural Break Points

“…It seems that evident and hidden structural break points are interrelated; to the best of our knowledge, this is the first article to show interrelated structural break points. and Das, 2019;page 168). Just like Brazil, there are more hidden than evident structural break points.…”