The Relationships Between Thai Government Bond Yield and Economic Variables
The purpose of research, “The Relationships between Thai Government Bond Yield and Economic Variables”, is to study overview of Thai bond market and relationships between Thai government bond yield and economic variables by Traditional and Threshold Cointegration. Ten years of monthly secondary...
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| Format: | Theses and Dissertations |
| Language: | English |
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เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่
2020
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| Online Access: | http://cmuir.cmu.ac.th/jspui/handle/6653943832/69350 |
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| Institution: | Chiang Mai University |
| Language: | English |
| Summary: | The purpose of research, “The Relationships between Thai Government Bond Yield
and Economic Variables”, is to study overview of Thai bond market and relationships
between Thai government bond yield and economic variables by Traditional and Threshold Cointegration. Ten years of monthly secondary data, representing Thai government bond yield and economic variables, which are interbank rate, private investment index, consumer price index, coincident economic index, exchange rate (baht/dollar), and SET index, had been employed since 1996 until the third quarter of 2014 (225 months in total) for this analysis.
For Thailand, interest rate tends to decline because of weak domestic and external economies, making the return of domestic bond investment have still high fluctuation. The empirical results, Unit Root Test showed all variables are stationary at the first difference. Testing threshold by bootstrapping method found that when Sup 〖LM〗^0-β is fixed, it is shown that some of them can reject the null hypothesis. These models
are Thai government bond yield with private investment index, Thai government
bond yield with coincident economic index, and Thai government bond yield with SET index, leading to the idea of Balke and Fomby (1997) while the other models- Thai government bond yield with interbank rate, Thai government bond yield with exchange rate, and Thai government bond yield with consumer price index are investigated
by the idea of Engle and Granger (1987).
The results of Traditional Cointegration found that Thai government bond yield has cointegration with interbank rate, consumer price index, and exchange rate. Moreover, Thai government bond yield has a positive relation with interbank rate, and
it has the negative relation with consumer price index and exchange rate. However,
tests of Error Correction Model found that Thai government bond yield and
interbank rate, consumer price index , and exchange rate have no short run adjustment toward long run equilibrium: speed of adjustments are equal to 0.9351, 0.9537 and 0.9745, respectively. For the results of Threshold Error Correction showed that Thai government bond yield with private investment index, and Thai government bond yield with coincident economic index models have short run adjustment toward
long run equilibrium in both Upper and Lower Regimes which are equal to -0.0130,
-0.0274, -0.0124 , and -0.2946, respectively. For Thai government bond yield with SET index model, it was found that they have short run adjustment toward long run equilibrium in only Upper Regime which is equal to -0.0162. Also, a policy maker should create a policy to reduce the speed of adjustment (error-correction term) to be effective short run adjustment toward long run equilibrium. Setting the government bond yield should not focus only on market yield, it should consider on the change of interbank rate, consumer price index and exchange rate. |
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