The term structure of interest rates in India

Rajnish Mehra, Arunima Sinha

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

We examine the term structure of interest rates in India to see if the yield curve can be rationalized based on the ‘expectations hypothesis.’ Although we find evidence of predictability for holding period returns, we reject the null hypothesis that the expectations hypothesis holds for the period under consideration. Contrary to the finding in the US, the volatility of Indian bond returns is consistent with the expectations hypothesis. Returns on long-term bonds are less volatile than those of short-term bonds. The volatility puzzle documented by Shiller on US data is not observed in Indian bond returns.

Original languageEnglish (US)
Title of host publicationMonetary Policy in India
Subtitle of host publicationA Modern Macroeconomic Perspective
PublisherSpringer India
Pages231-256
Number of pages26
ISBN (Electronic)9788132228400
ISBN (Print)9788132228387
DOIs
StatePublished - Jan 1 2016

Fingerprint

interest rate
India
Term structure of interest rates
Expectations hypothesis
evidence
Bond returns

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)
  • Social Sciences(all)

Cite this

Mehra, R., & Sinha, A. (2016). The term structure of interest rates in India. In Monetary Policy in India: A Modern Macroeconomic Perspective (pp. 231-256). Springer India. https://doi.org/10.1007/978-81-322-2840-0_8

The term structure of interest rates in India. / Mehra, Rajnish; Sinha, Arunima.

Monetary Policy in India: A Modern Macroeconomic Perspective. Springer India, 2016. p. 231-256.

Research output: Chapter in Book/Report/Conference proceedingChapter

Mehra, R & Sinha, A 2016, The term structure of interest rates in India. in Monetary Policy in India: A Modern Macroeconomic Perspective. Springer India, pp. 231-256. https://doi.org/10.1007/978-81-322-2840-0_8
Mehra R, Sinha A. The term structure of interest rates in India. In Monetary Policy in India: A Modern Macroeconomic Perspective. Springer India. 2016. p. 231-256 https://doi.org/10.1007/978-81-322-2840-0_8
Mehra, Rajnish ; Sinha, Arunima. / The term structure of interest rates in India. Monetary Policy in India: A Modern Macroeconomic Perspective. Springer India, 2016. pp. 231-256
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