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

Title

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

Creator

Faniband M.

Description

This paper introduces a new dataset of Clearing Corporation of India Limiteds 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. Copyright 2021 Inderscience Enterprises Ltd.

Source

Afro-Asian Journal of Finance and Accounting, Vol-11, No. 5, pp. 772-786.

Date

2021-01-01

Publisher

Inderscience Publishers

Subject

Broad total return index; Government bonds; India; Liquid total return index; Macroeconomic factors; Non-macroeconomic factors; Quantile regression

Coverage

Faniband M., Department of Commerce, CHRIST (Deemed to be University), Bengaluru, 560029, India

Rights

Restricted Access

Relation

ISSN: 17516447

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.1504/AAJFA.2021.119480

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