A Macro-Finance Model of Government Bonds Yields in Vietnam

Ly Hung

Working Papers from HAL

Abstract: We characterize a macro-finance model of government bonds yields in Vietnam. The evidence is based on a time-varying structural vector autoregression (TVC-VAR) model with a monthly sample from 02/2012 to 10/2018. The bonds yields serve as effective indicators for the macroeconomic variables. For the two-month horizon of forecasting, the model tends to forecast the inflation more effectively than the economic growth and exchange rate's change. Moreover, the macroeconomic fundamentals also drive the bonds yields curve: the output growth move closely with the long-run value of curve, the depreciation rate of domestic currency is consistent with the medium-run of curve, and the inflation rate goes in line with the short-run of curve.

Keywords: Government Bonds; Vector Autoregression; Macro-Finance (search for similar items in EconPapers)
Date: 2020-06
New Economics Papers: this item is included in nep-cwa, nep-fdg, nep-mac and nep-sea
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