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Determinants of Primary Yield Spreads of States in India: An Econometric Analysis

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  • Dhritidyuti Bose

    ()

  • Rajeev Jain

    ()

  • Lakshmanan L

    ()

Abstract

An attempt is made to identify the determinants of yield spreads between the State and Central government securities in a panel data framework as has been used in several cross-country studies. This study examines the potential impact of fiscal as well as market related factors on the yield spreads of 27 States/UT in India. [RBI W P S (DEPR) : 10 / 2011]. URL:[http://rbidocs.rbi.org.in/rdocs/Publications/PDFs/10WPS040811.pdf].

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Bibliographic Info

Paper provided by eSocialSciences in its series Working Papers with number id:4370.

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Date of creation: Aug 2011
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Handle: RePEc:ess:wpaper:id:4370

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Related research

Keywords: fiscal; state; central government; securities; panel data; states; UT; Central government securities; Interest rates; Fiscal policy; debt management; State borrowing; national debt; marketability; tradability; fiscal sovereignty; lower tax; GDP; debt; borrowing;

References

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  1. Alexander Schulz & Guntram B. Wolff, 2009. "The German Sub-national Government Bond Market: Structure, Determinants of Yield Spreads and Berlin's Forgone Bail-out," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 229(1), pages 61-83, February.
  2. Galvani, Valentina & Behnamian, Aslan, 2009. "A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds," Working Papers 2009-7, University of Alberta, Department of Economics.
  3. Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2009. "Government risk premiums in the bond market: EMU and Canada," European Journal of Political Economy, Elsevier, vol. 25(3), pages 371-384, September.
  4. Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995. "Do Credit Markets Discipline Sovereign Borrowers? Evidence from US States," CEPR Discussion Papers 1088, C.E.P.R. Discussion Papers.
  5. Bernoth, Kerstin & Hagen, Jürgen von & Schuknecht, Ludger, 2006. "Sovereign Risk Premiums in the European Government Bond Market," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 151, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  6. Laurence Booth & George Georgopoulos & Walid Hejazi, 2007. "What drives provincial-Canada yield spreads?," Canadian Journal of Economics, Canadian Economics Association, vol. 40(3), pages 1008-1032, August.
  7. Kirsten H. Heppke-Falk & Guntram B. Wolff, 2008. "Moral Hazard and Bail-Out in Fiscal Federations: Evidence for the German Länder," Kyklos, Wiley Blackwell, vol. 61(3), pages 425-446, 08.
  8. Bayoumi, Tamim & Goldstein, Morris & Woglom, Geoffrey, 1995. "Do Credit Markets Discipline Sovereign Borrowers? Evidence from the U.S. States," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 27(4), pages 1046-59, November.
  9. James M. Poterba & Kim S. Rueben, 1997. "State Fiscal Institutions and the U.S. Municipal Bond Market," NBER Working Papers 6237, National Bureau of Economic Research, Inc.
  10. repec:cup:cbooks:9780521694681 is not listed on IDEAS
  11. Jan J.G. Lemmen, 1999. "Managing Government Default Risk in Federal States," FMG Special Papers, Financial Markets Group sp116, Financial Markets Group.
  12. Luiz R. De Mello Jr., 2001. "Fiscal Decentralization and Borrowing Costs: The Case of Local Governments," Public Finance Review, , vol. 29(2), pages 108-138, March.
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Cited by:
  1. Rangarajan , C. & Prasad, Abha, 2012. "Managing state debt and ensuring solvency : the Indian experience," Policy Research Working Paper Series 6039, The World Bank.

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