scholarly journals Analysing Indian G-Secs with a Predictive Approach

2017 ◽  
Vol 16 (3) ◽  
pp. 39-55
Author(s):  
Serin Josy Thomas ◽  
Sahana Madhanagopal ◽  
Bikramaditya Ghosh
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Purchasing Power Parity ◽  
Bank Loans ◽  
Power Parity ◽  
Present Value ◽  
Macroeconomic Factors ◽  
Bond Yield ◽  
Panel Data Regression ◽  
Parity Price

The bond movement being observed keenly by the business communities across the world is primarily because of the fact that large organizations require a huge sum of money which cannot be met in the form of bank loans alone. The solution is to raise money from the public by issuing bonds. It is of equal interest to the investors because bonds are fixed income securities. In this market it is imperative to understand the interplay of macroeconomic factors such as inflation levels, interest rates, foreign exchange rates, purchasing power parity, price movements, monetary and fiscal policies. The rationale behind the decision to invest in a particular bond is directly influenced by the present value of the bond. This paper aims to build a model using Panel Data Regression to predict the present value of the bonds by considering the components of the term structure such as interest rates, maturity, bond yield etc.

scholarly journals Yield curve dynamics with macroeconomic factors in Iberian economies

2020 ◽  
Vol 10 (3) ◽  
pp. 193-203
Author(s):  
Isabel Maldonado ◽  
Carlos Pinho
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Error Variance ◽  
Impact Factors ◽  
Strong Impact ◽  
Impulse Response Functions ◽  
Macroeconomic Factors ◽  
Vector Autoregressive ◽  
Future Evolution

Abstract The aim of this paper is to analyse the bidirectional relation between the term structure of interest rates components and macroeconomic factors. Using a factor augmented vector autoregressive model, impulse response functions and forecasting error variance decompositions we find evidence of a bidirectional relation between yield curve factors and the macroeconomic factors, with increased relevance of yield factors over it with increased forecasting horizons. The study was conduct for the two Iberian countries using information of public debt interest rates of Spain and Portugal and macroeconomic factors extracted from a set of macroeconomic variables, including indicators of activity, prices and confidence. Results show that the inclusion of confidence and macroeconomic factors in the analysis of the relationship between macroeconomics and interest rate structure is extremely relevant. The results obtained allow us to conclude that there is a strong impact of changes in macroeconomic factors on the term structure of interest rates, as well as a significant impact factors of the term structure in the future evolution of macroeconomic factors.

scholarly journals Title: analysis of term structure of interest rates in Latin America countries from 2006 to 2014

2015 ◽  
Vol 13 (4) ◽  
pp. 650
Author(s):  
Felipe Stona ◽  
Jean Amann ◽  
Maurício Delago Morais ◽  
Divanildo Triches ◽  
Igor Clemente Morais
Keyword(s):  
Latin America ◽  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Principal Component ◽  
Vector Model ◽  
Yield Curves ◽  
Macroeconomic Factors ◽  
The Relationship ◽  
Latin America Countries

This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. Specifically, we perform estimations of Nelson-Siegel, Diabold-Li and principal component analysis to test how the change of macroeconomic factors, e.g. inflation, production and unemployment levels affect the yield curves. For Brazil and Mexico, GDP and inflation variables are relevant to change the yield curves, with the former shifting more the level, and the latter with greater influence on the slope. For Chile, inflation had the greatest impact on the level and, specifically for Mexico, the unemployment variable also changed the slope of the yield curve.

The Term Structure of Interest Rates and the Evaluation of Forestry Investments: A Note

1988 ◽  
Vol 12 (4) ◽  
pp. 256-258
Author(s):  
F. Christian Zinkhan
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Discount Rate ◽  
Net Present Value ◽  
Present Value ◽  
Term Structures ◽  
Forestry Investments ◽  
The Relationship

Abstract The forestry literature generally assumes that the appropriate discount rate to be used in the estimation of a given investment's net present value is the same over its lifetime. However, the values of many alternative investments such as stocks and bonds often reflect term structures that are not flat. That is, the relationship between the number of years to maturity of an investment and that investment's required rate of return is often a significant consideration. This note suggests a procedure for incorporating a consideration of the term structure of interest rates into the determination of a discount rate specific to each annual net cash flow associated with a given long-term forestry investment. Using an actual 10-year case analysis, it was found that the valuation of a timberland tract varied by approximately 11%, depending upon whether or not the term structure of interest rates was recognized. South. J. Appl. For. 12(4):256-258.

scholarly journals THE ANALYSIS THE EFFECT OF MACROECONOMIC FACTORS ON INDONESIA 10-YEAR GOVERNMENT BOND YIELD

2021 ◽  
Vol 2 (3) ◽  
pp. 471-481
Author(s):  
Chyntia Juliana Pratiwi ◽  
Matrodji H. Mustafa
Keyword(s):  
Gross Domestic Product ◽  
Exchange Rates ◽  
Interest Rates ◽  
Domestic Product ◽  
Government Bond ◽  
Sovereign Risk ◽  
Macroeconomic Factors ◽  
Government Bonds ◽  
Bond Yield ◽  
Analysis Technique

The purpose of this research is to analyze macroeconomics, namely Inflation, Gross Domestic Product, Exchange Rates, Interest Rates and Sovereign Risk to Indonesia 10-Year Government Bond Yield. The population in this study were all government bond yield tenors of the benchmark series for the period 2017 to 2019. The type of research used in this study is causal associative research. The research sample is Indonesian government bonds with a tenor of 10 years. The sample amounted to 36 data. The data analysis technique used multiple regression analysis method. The results showed that inflation and Gross Domestic Product have no effect on the Indonesia 10-Year Government Bond Yield. Exchange Rates, Interest Rates and Sovereign Risk have a positive and significant effect on the Indonesia 10-Year Government Bond Yield.

scholarly journals A Survey on Exchange Rates Determination in the Teachings of the Austrian School

2021 ◽  
pp. 105-144
Author(s):  
Massimiliano Neri
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Interest Rates ◽  
Purchasing Power Parity ◽  
Balance Of Payments ◽  
Purchasing Power ◽  
Power Parity ◽  
Austrian Theory ◽  
Palabras Clave ◽  
International Capital Movements

This survey represents a recollection of the contributions of prominent Austrian economists on the subject of the exchange rate determination (Mises, Hayek and Haberler). We review the theoretical fundaments that allow for a comprehensive understanding of the microeconomic forces that determine exchange rates. Then we examine the Purchasing Power Parity Theory, both from a neoclassical and Austrian viewpoint. Finally we inspect the international movements of money and the associations of these with the dynamics of the balance of payments and exchange rate. We leave open the door for future investigations over the idea of incorporating the notion of the Interest rates Parity, intended as a «tendency law», in the Austrian theory. Key words: Exchange rate, Austrian theory, purchasing power parity, balance of payments, international capital movements. Clasificación JEL: F31. Resumen: El presente ensayo representa una recopilación de las con-tribuciones de prominentes economistas austriacos sobre la de-terminación del tipo de cambio (Mises, Hayek, Haberler). En la pri-mera parte se repasan los fundamentos teoréticos que permiten una comprensión exhaustiva de las fuerzas microeconómicas que deter-minan el tipo de cambio. A continuación se examina la teoría de la paridad de poder adquisitivo, tanto desde un punto de vista austriaco como neoclásico. Finalmente se inspeccionan los movimientos inter-nacionales de dinero y las asociaciones de los mismos con las diná-micas de la balanza de pagos y del tipo de cambio. Se deja abierta la puerta para futuras investigaciones sobre la idea de incorporar la noción de la paridad de tipo de interés, entendida como «ley de ten-dencia», dentro de la teoría austriaca. Palabras clave: Tipo de cambio, análisis austriaco, paridad del poder adquisitivo, balanza de pagos, movimientos internacionales de capital.

scholarly journals Model Dinamik Paritas Suku Bunga Indonesia Menggunakan Error Correction Model

JURNAL PUNDI ◽  
2018 ◽  
Vol 1 (3) ◽  
Author(s):  
Elva Dona
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Interest Rates ◽  
Error Correction ◽  
Purchasing Power Parity ◽  
National Income ◽  
Error Correction Model ◽  
Power Parity ◽  
Interest Rate Parity ◽  
Correction Model

The purchasing power parity doctrine in determining exchange rate changes focuses on  price factor changes (Jiang, Li, Chang, & Su, 2013)This study examines how currency and interest rates interact with each other to achieve a balance position in the foreign exchange market.Through this approach the exchange rate is determined by the balance of demand and supply between two currencies. This approach also explains how the influence of economic variables such as money supply, national income, price level, and interest rate on the formation of currency rates. Data using  the first quarter of 2000 through the fourth quarter of 2013, With econometric analysis through cointegration approach and Error Correction Model will be tested the validity of interest rate parity condition in Indonesi.Estimation of the error correction model variable (V), indicating that the variable passed the t test at 5% confidence level. It indicates that the models specification is acceptable and there is cointegration between the observed variables.

scholarly journals ANALISIS KELAYAKAN FINANSIAL USAHA PEMBUATAN TEMPE KEDELAI SKALA MIKRO DI KECAMATAN SEMARANG BARAT

2019 ◽  
Vol 8 (1) ◽  
Author(s):  
GALIH SETO WICAKSONO, TINJUNG MARY PRIHTANTI
Keyword(s):  
Interest Rates ◽  
Commercial Bank ◽  
Net Present Value ◽  
Bank Loans ◽  
Feasibility Analysis ◽  
Survey Method ◽  
Ratio Analysis ◽  
Internal Rate Of Return ◽  
Present Value ◽  
Financial Feasibility

This study aims to analyze the feasibility of the financial business of making micro-scale tempeh in Semarang Barat Sub-district in 2018. This research is a quantitative study using a survey method with 30 respondents with criteria as experts in business tempeh agrondustry in Semarang Barat Sub-district. Investment feasibility analysis uses Net Present Value (NPV) analysis, Internal Rate of Return (IRR) and R / C Ratio analysis to find out whether there is a business tempeh agroindustry in Semarang Barat Sub-district that is feasible or not. The results of the feasibility analysis of tempe making business for 3 years, the business tempeh agroindustry is feasible to be developed, this is based on the results of research that shows the NPV (+) value of Rp. 61,730,980 which shows that the industry is feasible for investment. While the IRR (65.8%)> interest rates on commercial bank loans (DF = 11%) indicate that the business of making tempe is feasible for investment. And the value of R / C ratio (1.156)> 1, which means that the business tempeh agroindustry in Semarang Barat sub-district is feasible.Keywords : Agroindutsry, Financial feasibility, Tempeh

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