The Impact Of Fiscal And Macroeconomic Factors On Vietnam Government Bond Yield
Abstract
Government bond market plays a key role in financial markets because it
provides benchmark yield curve and an effective channel for call for government’s capital.
And government bond yield refers to the borrowing cost for government and the expected
return for the individual and institutional investors. Having knowledge of government bond
yield helps government operate or adjust the government bond issuance to boost the
economic conditions in a countries and support investors when diversifying their
investment portfolio. To contribute to government bond’s literature and government’s
policy, we examine the determinants of government bond yield in Vietnam by using
GARCH (1,1) and EGARCH (1,1) models for time-series data. After applying these
models, the estimated results show that for the 3-year and 5-year government bond, there
are the significant and positive relationships between the independent variables such as the
percentage change of Central Government Balance, the first difference of Policy Rate and
the first difference of government bond yields while the percentage change of Exchange
Rate, and VN Index significantly and negatively affects the change in of government bond
yields. For 10-year government bond, Policy Rate, VN Index and VIX are the most
significant determinants of this government bond yields. They positively affect the bond
yields change while the Inflation has a significant and negative relationship with the first
difference of government bond yields. Moreover, the Inflation has more significant impacts
on the change in long-term government bond yields than that in shorter-term government
bond yields.