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Determinants of Weekly Yields on Government Securities in India

  • Pami Dua

    ()

  • Nishita Raje

    ()

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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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Date of creation: Sep 2010
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Handle: RePEc:ess:wpaper:id:2834
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  1. 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..
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  6. Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
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  8. Tao Wu & Glenn Rudebusch, 2004. "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers 104, Society for Economic Dynamics.
  9. Frederic S. Mishkin, 1991. "The Information in the Longer Maturity Term Structure about Future Inflation," NBER Working Papers 3126, National Bureau of Economic Research, Inc.
  10. 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.
  11. Froot, Kenneth A, 1989. " New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(2), pages 283-305, June.
  12. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  13. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  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. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
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