EconPapers    
Economics at your fingertips  
 

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

Muhammadriyaj Faniband

Afro-Asian Journal of Finance and Accounting, 2021, vol. 11, issue 5, 772-786

Abstract: This paper introduces a new dataset of Clearing Corporation of India Limited's 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.

Keywords: government bonds; macroeconomic factors; non-macroeconomic factors; broad total return index; liquid total return index; quantile regression; India. (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=119480 (text/html)
Access to full text is restricted to subscribers.

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:ids:afasfa:v:11:y:2021:i:5:p:772-786

Access Statistics for this article

More articles in Afro-Asian Journal of Finance and Accounting from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().

 
Page updated 2025-03-19
Handle: RePEc:ids:afasfa:v:11:y:2021:i:5:p:772-786