Macroeconomic shocks and evolution of term structure of interest rate: A dynamic latent factor approach View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2018-12

AUTHORS

Sanjay Singh, Neeraj Hatekar

ABSTRACT

It is imperative to assess the impact of macroeconomic shocks on the health of financial institutions under macro-prudential surveillance, which percolate through interest rate risk, because any change in the interest rate term structure would affect their profit and loss account through income from interest earning assets and expenses on interest bearing liabilities. Accordingly, this paper empirically evaluates impact of key macroeconomic variables, namely, output gap, inflation and policy rate on the term structure of the Indian G-sec using latent factor model. First, level, slope and curvature of the yield curve were modelled dynamically through dynamic latent factor model and then these factors were linked to the macroeconomic variables using vector autoregressive framework. The empirical findings show a strong evidence of the effects of macroeconomic shocks on future movements in the yield curve. More... »

PAGES

245-262

Journal

TITLE

Indian Economic Review

ISSUE

1-2

VOLUME

53

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s41775-018-0019-x

DOI

http://dx.doi.org/10.1007/s41775-018-0019-x

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1105731929


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