Arbeitspapier
The macrodynamics of Indian Rupee swap yields
This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest rate has a decisive influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial production, the logarithm of the equity price index, and the logarithm of the INR exchange rate. The estimated models show that the short-term interest rate has an important influence on the swap yields. This implies that the Reserve Bank of India (RBI) can sway borrowing and lending rates not just on Indian government bonds but also INR-denominated private-market financial instruments, such as swaps and swaptions.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 1020
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Central Banks and Their Policies
Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Interest Rate Swaps
Swap Yields
Inflation
Reserve Bank of India
India
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Akram, Tanweer
al Mamun, Khawaja Abdullah
- Ereignis
-
Veröffentlichung
- (wer)
-
Levy Economics Institute of Bard College
- (wo)
-
Annandale-on-Hudson, NY
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Akram, Tanweer
- al Mamun, Khawaja Abdullah
- Levy Economics Institute of Bard College
Entstanden
- 2023
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