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Determinants of Weekly Yields on Government Securities in India

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  • Pami Dua
  • Nishita Raje

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]

Suggested Citation

  • Pami Dua & Nishita Raje, 2010. "Determinants of Weekly Yields on Government Securities in India," Working Papers id:2834, eSocialSciences.
    • Handle: RePEc:ess:wpaper:id:2834
    Note: Institutional Papers
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    References listed on IDEAS

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    More about this item

    Keywords

    interest rate determination; government yields; cointegration and generalized variance decompositions;
    All these keywords.

    JEL classification:

    • C - Mathematical and Quantitative Methods
    • E - Macroeconomics and Monetary Economics

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