 Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental DriversJakree Koosakul No 30, PIER Discussion Papers from Puey Ungphakorn Institute for Economic Research Abstract: This paper attempts to identify the key determinants of daily yield movements in the Thai government bond market. It finds that Thai short-term yield movements are solely driven by domestic factors, namely policy rate expectations and bond supply. By contrast, longer-tenor yields are also found to be affected by global factors, namely global monetary conditions and global risk appetite. Apart from these “fundamental†factors, the net-buying pressures of foreign players, and not those of domestic investors, are also found to exert significant influence over the Thai medium and long rates. Taken alone, this finding may appear somewhat alarming as it implies that foreign activity can be a significant source of market volatility. Further investigations suggest, however, that the detected foreign influence may be due to informational reasons; foreign investors lead yield movements because they provide price-relevant “private†information to the market. Viewed in this light, the detected foreign influence may not altogether be so detrimental, at least insofar as normal periods are concerned. Keywords: Sovereign Bond Yields; Market Microstructure; Foreign Participation (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pui:dpaper:30 Ordering information: This working paper can be ordered from Access Statistics for this paper More papers in PIER Discussion Papers from Puey Ungphakorn Institute for Economic Research Contact information at EDIRC. |
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