Impact of Interest Rate, Exchange Rate and Consumer Price Index on Government Bond Returns of India

Macroeconomic variables play a vital role in determining sovereign bond yields of a country. This paper examines the impact of selected macroeconomic variables on Sovereign Bond yields of India. A causal design was used to find out effect of macroeconomic variables on bond yields. It is found that 40% of sovereign bond yield is explained by interest rate, exchange rate and consumer price index. It is also found out that there existed a strong correlation (relationship) between the variables used in the study viz. sovereign bond yields, interest rate, exchange rate and consumer price index.

Keywords: Bond yields, India, macroeconomic variables, regression

Suggested Citation: Suggested Citation

Bhat, Dr Shariq Ahmad and Shanmugasundaram, G. and Fahad, P., Impact of Interest Rate, Exchange Rate and Consumer Price Index on Government Bond Returns of India (2016). Research Dimensions • Volume 3 Issue 2 • April 2016 , Available at SSRN: https://ssrn.com/abstract=2913499