determination of yields
INDEX
TOPIC
PAGE NO
1
Abstract
3
2
Current status of Indian Bond Market
3
3
All about Yield curve
5
4
Behavior of bond yields- Case by Case basis
7
5
Data Calculations and Conclusions
11
6
Literature Review
15
7
References
17
Abstract
This paper examines the determinants of the bond yields in India using daily data from Feb 20, 2013 through March 30, 2014, to be precise 300 working days. The analysis covers Treasury bills with 10 years maturity. The empirical estimates show that a long-run relationship exists between each of these interest rates and the policy rate, WPI inflation and GDP growth rate. Also, what we have taken into account is specific impacts on bond yields during a particular period in time in the economy taking that period into account.
Part I
Current Status of Indian Bond Market
In 2012, the size of the Indian bond market was approximately equivalent to 27% of the Chinese bond market and 69% of the Korean bond market.
Towards the end of 2012, the total volume of outstanding bonds accounted for roughly USD 1 trillion, reflecting an overall increase of 24% from the previous year which both government securities and corporate bonds contributed. Government securities comprise 79% of the total amount of outstanding bonds, a larger percentage than government securities in China, which is 73%, and in Korea, which accounts for only 39%. Last year, the amount of outstanding government securities increased more steeply, at a growth rate of 23% and reaching USD 792 billion, compared to the average rate of 18% per year over the period spanning from 2000 to 2012.
The percentage of outstanding corporate bonds to GDP indicates the small size of the Indian corporate bond market. The total share accounts for 5.48% representing an
TOPIC
PAGE NO
1
Abstract
3
2
Current status of Indian Bond Market
3
3
All about Yield curve
5
4
Behavior of bond yields- Case by Case basis
7
5
Data Calculations and Conclusions
11
6
Literature Review
15
7
References
17
Abstract
This paper examines the determinants of the bond yields in India using daily data from Feb 20, 2013 through March 30, 2014, to be precise 300 working days. The analysis covers Treasury bills with 10 years maturity. The empirical estimates show that a long-run relationship exists between each of these interest rates and the policy rate, WPI inflation and GDP growth rate. Also, what we have taken into account is specific impacts on bond yields during a particular period in time in the economy taking that period into account.
Part I
Current Status of Indian Bond Market
In 2012, the size of the Indian bond market was approximately equivalent to 27% of the Chinese bond market and 69% of the Korean bond market.
Towards the end of 2012, the total volume of outstanding bonds accounted for roughly USD 1 trillion, reflecting an overall increase of 24% from the previous year which both government securities and corporate bonds contributed. Government securities comprise 79% of the total amount of outstanding bonds, a larger percentage than government securities in China, which is 73%, and in Korea, which accounts for only 39%. Last year, the amount of outstanding government securities increased more steeply, at a growth rate of 23% and reaching USD 792 billion, compared to the average rate of 18% per year over the period spanning from 2000 to 2012.
The percentage of outstanding corporate bonds to GDP indicates the small size of the Indian corporate bond market. The total share accounts for 5.48% representing an
References: http://capitalmind.in/category/bonds/ http://www.socscistatistics.com/ (for all calculations of correlations) http://www.asifma.org/uploadedFiles/News/ASIFMA%20India%20Bond%20Market%20Roadmap%20Draft_wCover.pdf http://www.tradingeconomics.com/india All research papers as stated in the Literature Review table