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Determinants of Weekly Yields on Government Securities in India

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  • Pami Dua

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  • Nishita Raje

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Abstract

This paper examines the determinants of the Government yields in India using weekly data from April 2001 through March 2009. The analysis covers Treasury Bills with residual maturity of 15-91 days and Government securities of residual maturity one, five and ten years respectively. The empirical estimates show that a long-run relationship exists between each of these interest rates and the policy rate, rate of growth of money supply, inflation, interest rate spread, foreign interest rate and forward premium. At the same time, the empirical results also show that the relative importance of the determinants varies across the maturity spectrum. [Working Paper No. 187]

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Paper provided by eSocialSciences in its series Working Papers with number id:2834.

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Date of creation: Sep 2010
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Handle: RePEc:ess:wpaper:id:2834

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Keywords: interest rate determination; government yields; cointegration and generalized variance decompositions;

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  12. Alan S. Blinder, 2008. "Talking about Monetary Policy: The Virtues (and Vices?) of Central Bank Communication," Working Papers 1048, Princeton University, Department of Economics, Center for Economic Policy Studies..
  13. Dua, Pami & Pandit, B. L., 2002. "Interest rate determination in India: domestic and external factors," Journal of Policy Modeling, Elsevier, vol. 24(9), pages 853-875, December.
  14. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  15. Sarantis, Nicholas & Lin, Sharon X, 1999. "The Role of Financial Spreads in Macroeconomic Forecasting: Evidence for the UK," Manchester School, University of Manchester, vol. 67(1), pages 89-110, January.
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