Assessing Macroeconomic Influences on Indian Sovereign Bond Yields: An Insight from the ARDL Bound Test Approach

• Autorzy: Utsav , Suresh K. Patra , Pramod K. Naik

Warianty tytułu

Ocena wpływów makroekonomicznych na rentowność indyjskich obligacji skarbowych - spostrzeżenia z podejścia opartego na teście granic ARDL

• Języki publikacji: EN

Abstrakty

Rentowność obligacji to wskaźnik najczęściej obserwowany przez inwestorów i bank centralny kraju. Zgodnie z teorią struktury terminowej kształt rentowności obligacji jest kluczowym barometrem gospodarczym i określa się go mianem wskaźnika kondycji gospodarki. W artykule opisano badania długoterminowych i krótkoterminowych determinant rentowności długoterminowych obligacji skarbowych w Indiach. W badaniu wykorzystano miesięczne zmienne makroekonomiczne szeregów czasowych, takie jak rentowność długoterminowych obligacji skarbowych, rentowność krótkoterminowych bonów skarbowych, wzrost gospodarczy, inflacja, wskaźnik polityki pieniężnej, kurs wymiany, rezerwy walutowe, deficyt budżetowy brutto i światowa cena ropy Brent w okresie od kwietnia 2001 r. do marca 2021 r. Uwzględniając załamania strukturalne w ramach ARDL w obecności innych kontrolowanych zmiennych, ustalono, że krótkoterminowe stopy procentowe wpływają na długoterminowe stopy procentowe, co potwierdza słuszność hipotezy Keynesa w kontekście Indii. Stwierdzono również, że wzrost gospodarczy, wskaźnik polityki pieniężnej i cena ropy Brent na świecie również są czynnikami wpływającymi na długoterminową stopę procentową. Ustalenia te mają istotne implikacje polityczne dla obecnych dyskusji na temat kombinacji polityk podczas cykli wzrostów i spadków oraz koordynacji monetarno-fiskalnej. Dlatego też politykę pieniężną należy poddać przeglądowi z uwzględnieniem wszystkich zmiennych makroekonomicznych.(abstrakt oryginalny)

EN

This paper investigates the long-term and short-term determinants of sovereign bond yields in India, a critical macroeconomic indicator closely monitored by investors and central banks. According to term structure theory, the shape of bond yields is a key economic barometer, reflecting the overall health of the economy. Using monthly time series data from April 2001 to March 2021, the study examines variables such as long-term sovereign bond yields, short-term Treasury bill yields, economic growth, inflation, the monetary policy index, exchange rates, foreign exchange reserves, gross fiscal deficit, and global Brent crude oil prices. By accounting for structural breaks under the ARDL framework, in the presence of other controlled variables, the analysis confirmed that short-term interest rates influence long-term interest rates, validating the Keynesian conjecture in the Indian context. Additionally, economic growth, the monetary policy index, and global Brent crude oil price are identified as significant drivers of long-term interest rates. These findings have important policy implications for monetary-fiscal coordination, especially in debates on the appropriate policy mix during boom-and-bust cycles. Consequently, monetary policy should be reviewed comprehensively, incorporating a broad range of macroeconomic variables.(original abstract)

Słowa kluczowe

PL

Wzrost gospodarczy; Stopa procentowa; Polityka pieniężna; Rentowność obligacji; Obligacje skarbowe

EN

Economic growth; Interest rate; Monetary policy; Bond yield; Treasury bond

• Czasopismo: Gospodarka Narodowa
• Rocznik: 2024
• Numer: nr 4
• Strony: 93-114

Twórcy

autor

Utsav

• Department of Economics, Central University of Rajasthan, India

autor

Suresh K. Patra

• Department of Economics, Central University of Rajasthan, India

autor

Pramod K. Naik

• Department of Humanities and Social Sciences, Indian Institute of Technology Madras, India

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Identyfikatory

DOI

10.33119/GN/190912