Title: Determinants of government bond returns: an Indian experience

Authors: Muhammadriyaj Faniband; Pravin Jadhav

Addresses: Institute of Infrastructure, Technology, Research and Management (IITRAM), Ahmedabad – 380026, India ' Institute of Infrastructure, Technology, Research and Management (IITRAM), Ahmedabad – 380026, India

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.

Keywords: macroeconomic; non-macroeconomic; government bond; bond returns; quantile regression; India.

DOI: 10.1504/IJCEE.2024.139755

International Journal of Computational Economics and Econometrics, 2024 Vol.14 No.3, pp.251 - 268

Received: 26 Mar 2023
Accepted: 06 Nov 2023
Published online: 05 Jul 2024 *

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