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Indian government bonds sensitivity to macroeconomic and non-macroeconomic factors: a quantile regression approach

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  • Muhammadriyaj Faniband

Abstract

This paper introduces a new dataset of Clearing Corporation of India Limited's broad total return index (BTRI) and liquid total return index (LTRI). The paper examines the impact of macroeconomic and non-macroeconomic factors on BTRI and LTRI during monthly periods from January 2010 to December 2018 using quantile regression methodology. This paper finds that the GDP has positive and significant impact on BTRI and LTRI for the upper quantiles. Further, CPI shows positive impact on both BTRI and LTRI. Moreover, both the indices are influenced by IR and there is an inverse relationship between them. ER also significantly affects both the indices. The EPUI has negative and significant impact on BTRI and LTRI for the intermediate and upper quantiles. No clear relationship is found between BTRI and Nifty, whereas Nifty has significant impact on LTRI. BTRI is not affected by VIX but LTRI is affected for the intermediate quantiles.

Suggested Citation

  • Muhammadriyaj Faniband, 2021. "Indian government bonds sensitivity to macroeconomic and non-macroeconomic factors: a quantile regression approach," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 11(5), pages 772-786.
    • Handle: RePEc:ids:afasfa:v:11:y:2021:i:5:p:772-786
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