Constant Maturity Yield Estimates for India: How Well Do They Depict the Term Structure?

27 Pages Posted: 14 Jun 2004

See all articles by Suchismita Bose

Suchismita Bose

ICRA Ltd

Paramita Mukherjee

International Management Institute (IMI) - International Management Institute, Kolkata

Date Written: December 2003

Abstract

Central banks over the world report the base interest rates of their economy in terms of constant maturity yield curves. We introduce estimation of constant maturity yields for the Indian economy and through a rigorous comparison with zero-coupon yield estimates using econometric techniques, show that even in economies with underdeveloped and imperfect bond markets, it is possible to generate qualitatively accurate term structure estimates, based on secondary market yields.

Keywords: Emerging debt market, base interest rates, yield to maturity, zero-coupon yield

JEL Classification: E43, G10, C12

Suggested Citation

Bose, Suchismita and Mukherjee, Paramita, Constant Maturity Yield Estimates for India: How Well Do They Depict the Term Structure? (December 2003). Available at SSRN: https://ssrn.com/abstract=556041 or http://dx.doi.org/10.2139/ssrn.556041

Suchismita Bose (Contact Author)

ICRA Ltd ( email )

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Paramita Mukherjee

International Management Institute (IMI) - International Management Institute, Kolkata ( email )

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