Paper Title :The Relationships Between Thai Government Bond Yield And Economic Variables
Author :Hathaichanoke Moonwong, Chaiwat Nimanussornkul, Nachatchapong Kaewsompong
Article Citation :Hathaichanoke Moonwong ,Chaiwat Nimanussornkul ,Nachatchapong Kaewsompong ,
(2015 ) " The Relationships Between Thai Government Bond Yield And Economic Variables " ,
International Journal of Management and Applied Science (IJMAS) ,
pp. 152-158,
Volume-1,Issue-4
Abstract : 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
variables.
Keywords- Secondary Data, Economic Variables, Negative Correlation.
Type : Research paper
Published : Volume-1,Issue-4
DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-2138
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Copyright: © Institute of Research and Journals
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Published on 2015-05-11 |
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