The Long-Run Determinants of Indian Government Bond Yields

Tanweer Akram and Anupam Das
Additional contact information
Tanweer Akram: Director of Global Public Policy and Economics, Thrivent Financial, Minneapolis, United States. Author email: tanweer.akram@thrivent.com
Anupam Das: Professor, Department of Economics, Justice, and Policy Studies at Mount Royal University, Alberta, Canada. Author email: adas@mtroyal.ca

Asian Development Review, 2019, vol. 36, issue 1, 168-205

Abstract: This paper investigates the long-term determinants of the nominal yields of Indian government bonds (IGBs). It examines whether John Maynard Keynes’ supposition that the short-term interest rate is the key driver of the long-term government bond yield holds over the long run, after controlling for key economic factors. It also appraises if the government fiscal variable has an adverse effect on government bond yields over the long run. The models estimated in this paper show that in India the short-term interest rate is the key driver of the long-term government bond yield over the long run. However, the government debt ratio does not have any discernible adverse effect on IGB yields over the long run. These findings will help policy makers to (i) use information on the current trend of the short-term interest rate and other key macro variables to form their long-term outlook about IGB yields, and (ii) understand the policy implications of the government's fiscal stance.

Keywords: government bond yields; India; interest rates; monetary policy (search for similar items in EconPapers)
JEL-codes: E43 E50 E60 G10 O16 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/adev_a_00127 (application/pdf)

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:tpr:adbadr:v:36:y:2019:i:1:p:168-205

Access Statistics for this article

Asian Development Review is currently edited by Yasuyuki Sawada and Naoyuki Yoshino

More articles in Asian Development Review from MIT Press
Bibliographic data for series maintained by The MIT Press ().