Determinants of Weekly Yields on Government Securities in India

Pami Dua and Nishita Raje ()

Working Papers from eSocialSciences

Abstract: This paper examines the determinants of the Government yields in India using weekly data from April 2001 through March 2009. The analysis covers Treasury Bills with residual maturity of 15-91 days and Government securities of residual maturity one, five and ten years respectively. The empirical estimates show that a long-run relationship exists between each of these interest rates and the policy rate, rate of growth of money supply, inflation, interest rate spread, foreign interest rate and forward premium. At the same time, the empirical results also show that the relative importance of the determinants varies across the maturity spectrum. [Working Paper No. 187]

Keywords: interest rate determination; government yields; cointegration and generalized variance decompositions (search for similar items in EconPapers)
Date: 2010-09
Note: Institutional Papers
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Working Paper: Determinants of Weekly Yields on Government Securities in India (2010)
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