Abstract

The objective of the paper is to study the impact of macroeconomic variables such as debt to GDP ratio, output growth, inflation, and monetary policy, ten-year benchmark US treasury yield, LIBOR, and exchange rate on curvature, level, and slope of the yield curve (YC) in Indian government securities market in the short run. The time period selected for the study was from January 1997 to December 2017. Data on government securities yield downloaded for RBI’s database on the Indian economy. VAR and impulse response have been used for analysis. Results show that among seven macro-determinants only inflation and monetary policy impact the YC significantly. Specifically, inflation impacts the level but not the slope and curvature of the YC whereas monetary policy substantially impacts the level and slope, but its effect is insignificant on curvature.

Citation details of the article

Journal: International Journal of Applied Mathematics
Journal ISSN (Print): ISSN 1311-1728
Journal ISSN (Electronic): ISSN 1314-8060
Volume: 35
Issue: 3
Year: 2022

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