Impact of Interest Rate, Exchange Rate and Consumer Price Index on Government Bond Returns of India
Research Dimensions • Volume 3 Issue 2 • April 2016
4 Pages Posted: 8 Feb 2017
Date Written: 2016
Macroeconomic variables play a vital role in determining sovereign bond yields of a country. This paper examines the impact of selected macroeconomic variables on Sovereign Bond yields of India. A causal design was used to find out effect of macroeconomic variables on bond yields. It is found that 40% of sovereign bond yield is explained by interest rate, exchange rate and consumer price index. It is also found out that there existed a strong correlation (relationship) between the variables used in the study viz. sovereign bond yields, interest rate, exchange rate and consumer price index.
Keywords: Bond yields, India, macroeconomic variables, regression
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