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

See all articles by Shariq Bhat

Shariq Bhat

Independent

G. Shanmugasundaram

Pondicherry University - Department of Commerce

P. Fahad

Pondicherry University - Department of Commerce

Date Written: 2016

Abstract

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

Suggested Citation

Bhat, Shariq and Shanmugasundaram, G. and Fahad, P., Impact of Interest Rate, Exchange Rate and Consumer Price Index on Government Bond Returns of India (2016). Research Dimensions • Volume 3 Issue 2 • April 2016 . Available at SSRN: https://ssrn.com/abstract=2913499

Shariq Bhat (Contact Author)

Independent ( email )

No Address Available

G. Shanmugasundaram

Pondicherry University - Department of Commerce ( email )

Department of Commerce
Kanchi Mamunivar Centre for Post Graduate Studies
Pondicherry University, Tamil Nadu 605014
India

P. Fahad

Pondicherry University - Department of Commerce

Department of Commerce
Kanchi Mamunivar Centre for Post Graduate Studies
Pondicherry University, Tamil Nadu 605014
India

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