Yield Curve Dynamics of the Indian G-Sec Market: A Macro-Finance Approach
Satyananda Sahoo and
Indranil Bhattacharyya
Indian Economic Review, 2012, vol. 47, issue 2, 157-182
Abstract:
We examine the interactions between monetary policy and the term structure of the g-sec market in India through a SVAR model comprising macroeconomic variables and latent factors of the yield curve. Among macroeconomic factors, while monetary policy has the dominant impact on level and curvature, the exchange rate largely determines slope of the yield curve. Moreover, the level is found to be an important input for monetary policy decisions. Despite the persistence of large fiscal deficits, the g-sec market is found to be strongly influenced by policy measures implying that the central bank has a distinct role in market development.
Keywords: Term Structure; Monetary Policy; Granger Causality; SVAR (search for similar items in EconPapers)
JEL-codes: C32 E43 E52 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (6)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:dse:indecr:0051
Ordering information: This journal article can be ordered from
http://www.ierdse.org/
Access Statistics for this article
Indian Economic Review is currently edited by Pami Dua (Editor) & Ram Singh (Associate Editor) and Sunil Kanwar
More articles in Indian Economic Review from Department of Economics, Delhi School of Economics University of Delhi, Delhi 110 007. Contact information at EDIRC.
Bibliographic data for series maintained by Pami Dua ().