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Determinants of government bond returns: an Indian experience

Author

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  • Muhammadriyaj Faniband
  • Pravin Jadhav

Abstract

This paper examines the impact of macroeconomic factors and non-macroeconomic factors on government bond returns in India using quantile regression methodology and the monthly dataset from April 2010 to May 2022. This paper produces a new dataset of three government bonds indices which include the top 20 and top 5 bonds and Treasury Bills (T-Bill). We are the first to document the following results. First, the top 20 and top 5 traded bonds have less sensitivity to the exchange rates. Second, inflation has a negligible impact on the top 20 and T-Bills. Third, all three bonds are significantly affected by interest rates. Fourth, the effect of geopolitical risk is significant on T-Bills. Firth, economic policy uncertainty and volatility do not affect bond returns. Sixth, the Nifty has a significant positive impact on the top 20 and top 5 bonds. Our results are useful for investors, portfolio managers and policymakers.

Suggested Citation

  • Muhammadriyaj Faniband & Pravin Jadhav, 2024. "Determinants of government bond returns: an Indian experience," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 14(3), pages 251-268.
    • Handle: RePEc:ids:ijcome:v:14:y:2024:i:3:p:251-268
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