Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets

Subramaniam, Sowmya; Prasanna, Krishna

doi:10.1016/j.iref.2017.08.006

Cited by 10 publications

(11 citation statements)

References 31 publications

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“…This result is consistent with the study of Moller (2014) found that the curvature factor is helpful in predicting the GDP growth. Sowmya and Prasanna (2018) highlighted that the policy rate has more influence on the curvature factor compared with the level factor in some countries…”

Section: Resultsmentioning

confidence: 99%

Geopolitical uncertainty and sovereign bond yields of BRICS economies

Subramaniam

2021

SEF

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Purpose The politically unstable economies have high and volatile sovereign spread. The purpose of this paper is to investigate the impact of geopolitical uncertainty on sovereign bond yields. Design/methodology/approach The sovereign yields at various maturities were decomposed into three factors, namely, level, slope and curvature, using the Dynamic Nelson Siegel model. The relationship between geopolitical uncertainty and the yield curve factors was examined using a quantile causality test. Findings The study found that at the extreme high-rate regime, geopolitical uncertainty causes the yield curve factors positively, indicating bond investors demand a higher return for geopolitical uncertainty. On the other hand, during extreme low-rate regime geopolitical causes the short- and medium-term factors negatively. The extreme low-rate regime indicates the period of economic slowdown. During this regime, the central banks try to reduce the short-term rates to stimulate growth. Originality/value This is one of the few papers that investigates the relationship between the geopolitical risk and sovereign bond yields at the various maturities and interest rate regimes. Understanding the relationship between the geopolitical risk and short-term rates would help the central banks the efficacy of their policy actions. The long-term rates are influenced by the global investor preferences; examining the relationship with the long-term rates would help the investors frame the trading strategies.

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Section: Resultsmentioning

confidence: 99%

Geopolitical uncertainty and sovereign bond yields of BRICS economies

Subramaniam

2021

SEF

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“…Djuranovik (2014) develops a model of the term structure of interest rates in Indonesia to create a link between the yield curve and macroeconomic fundamentals, namely real activity, inflation, and interest rate. Sowmya and Prasanna (2018) examine interaction between the yield curve and macroeconomic factors of Asian economies. Such studies and future research would benefit from greater understanding of the importance of unit root tests.…”

Section: Introductionmentioning

confidence: 99%

Understanding Indonesia’s Macroeconomic Data: What Do We Know and What Are the Implications?

Sharma¹

2018

BEMP

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Unit root properties of macroeconomic data are important for both econometric modelling specifications and policy making. The form of variables (whether they are a unit root process) helps determine the correct econometric modelling. Equally, the form of variables helps explain how they react to shocks (both internal and external). Macroeconomic time-series data are often at the forefront of shock analysis and econometric modelling. There is a growing emphasis on research on Indonesia using time-series data; yet, there is limited understanding of data characteristics and shock response of these data. Using an extensive dataset comprising 33 macroeconomic time-series variables, we provide an informative empirical analysis of unit root properties of data. We find that regardless of data frequencies the empirical evidence of unit roots is mixed, some series respond quickly to shocks others do take time, and almost every macroeconomic data suffers from structural breaks. We draw implications of these findings.

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“…Afonso (2009) [1] also stated that higher interest rates in economy increase the yield of the G-Secs. Studies such as Khandwala (2015), Kanagasabapathy and Goyal (2002) [47] , and Subramaniam and Prasanna (2018) [50,69] established a significant impact of output growth on G-Secs in the Indian context. Khandwala (2015) [50] suggested that in the Indian G-Secs market YC has a significant impact the output growth.…”

Section: Economic Growthmentioning

confidence: 99%

“…Further, Kanagasabapathy and Goyal (2002) [47] showed that yield spread acts as a leading indicator of economic growth in Indian economy. Recently, Subramaniam and Prasanna (2018) [69] found that output growth significantly affects the long end of the YC in Asian economies.…”

Section: Economic Growthmentioning

confidence: 99%

Treasury yield in India: A theoretical framework

Rangotra¹

2022

Int. J. Finance Manage.

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The objective of this study is to identify and integrate relevant literature on the treasury yield also called government securities (G-Secs) yield to underpin the relevant research framework in India. Specifically, this paper scrutinizes the relevant literature on factors affecting government securities yield in the Indian G-Secs market. The integrated efforts to synthesize varied literature on the G-Secs market, G-Secs yield, factors influencing G-Secs yield, and yield curve (YC) will help the researchers in the G-Secs market to understand the research framework.

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Yield curve interactions with the macroeconomic factors during global financial crisis among Asian markets

Cited by 10 publications

References 31 publications

Geopolitical uncertainty and sovereign bond yields of BRICS economies

Geopolitical uncertainty and sovereign bond yields of BRICS economies

Understanding Indonesia’s Macroeconomic Data: What Do We Know and What Are the Implications?

Treasury yield in India: A theoretical framework

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