Title: Indian government bonds sensitivity to macroeconomic and non-macroeconomic factors: a quantile regression approach
Authors: Muhammadriyaj Faniband
Addresses: Department of Commerce, CHRIST (Deemed to be University), Bengaluru – 560029, India
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.
DOI: 10.1504/AAJFA.2021.119480
Afro-Asian Journal of Finance and Accounting, 2021 Vol.11 No.5, pp.772 - 786
Received: 14 Sep 2019
Accepted: 06 Apr 2020
Published online: 07 Dec 2021 *