English, Article, Journal or magazine article edition: Indian G-Sec Market: How the Term Structure Reacts to Monetary Policy Das, Rituparna Das

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Bookmark: http://trove.nla.gov.au/version/212167
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Indian G-Sec Market: How the Term Structure Reacts to Monetary Policy
Author
  • Das, Rituparna Das
Physical Description
  • preprint
Notes
  • Against the backdrop of interest rate risk in the fixed income portfolios of the financial institutions in India that arose since the first quarter of the current financial year 2008-09 the influence of monetary policy on the term structure emerged as an important issue for research purposes. In this context the findings in this paper are (i) strongest sensitivity of the term structure at the short end compared to other parts to expected changes in monetary policy, (ii) existence of unutilized arbitraged opportunities in the case of short term securities in absence of stripping, (iii) a mitigating tendency in the fluctuations of Nelson-Siegel-Svensson short rate and the proxy monetary policy rate during the post sample period and (iv) existence of a fear among the market participants about the future liquidity conditions during the last quarter of 2007-08.
  • term structure; liquidity; monetary policy; Nelson-Siegel-Svensson; Vasicek; federal funds target rate; MIBOR
  • RePEc:pra:mprapa:16436
Language
  • English
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