The Relationships Between Thai Government Bond Yield And Economic Variables
This study uses Traditional and Threshold Cointegration models to analyze the secondary data over the periods of
225 months (1996 to 2014:3) in order to examine the relationships between Thai government bond yield and economic
variables (interbank rate, private investment index, consumer price index, coincident economic index, exchange rate
(baht/dollar) and SET index). All variables are stationary at the first difference. Testing for threshold follows on Hansen –
Seo (2002) test. The results show some evidence of non-linear cointegration between Thai government bond yield and
economic variables. Moreover, Thai government bond yield has either positive or negative correlation with independent
Keywords- Secondary Data, Economic Variables, Negative Correlation.