Determinants of Vietnam Government Bond Yield Volatility: A GARCH Approach

• 발행기관: 한국유통과학회
• 저자명: Quoc Trung TRINH Anh Phong NGUYEN Hoang Anh NGUYEN Phu Thanh NGO
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.7, 15~25쪽, 전체 11쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.07.30

영문 초록

This empirical research aims to identify the relationship between fiscal and financial macroeconomic fundamentals and the volatility of government bonds’ borrowing cost in an emerging country - Vietnam. The study covers the period from July 2006 to December 2019 and it is based on a sample of 1-year, 3-year, and 5-year government bonds, which represent short-term, medium-term and long-term sovereign bonds in Vietnam, respectively. The Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model and its derivatives such as EGARCH and TGARCH are applied on monthly dataset to examine and suggest a significant effect of fiscal and financial determinants of bond yield volatility. The findings of this study indicate that the variation of Vietnam government bond yields is in compliance with the theories of term structure of interest rate. The results also show that a proportion of the variation in the yields on Vietnam government bonds is attributed to the interest rate itself in the previous period, base rate, foreign interest rate, return of the stock market, fiscal deficit, public debt, and current account balance. Our results could be helpful in the macroeconomic policy formulation for policy-makers and in the investment practice for investors regarding the prediction of bond yield volatility.

목차

1. Introduction

2. Literature Review

3. Research Methods and Materials

4. Results and Discussion

5. Conclusions

References

키워드

Emerging Markets Vietnam Government Bonds Bond Yield Volatility Macroecomic Factors GARCH