Forecasting Government Bond Yields in Thailand: A Bayesian VAR Approach

• 발행기관: 한국유통과학회
• 저자명: Wantana BUABAN Yuthana SETHAPRAMOTE
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 9 No.3, 181~193쪽, 전체 13쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.03.30

영문 초록

This paper seeks to investigate major macroeconomic factors and bond yield interactions in Thai bond markets, with the goal of forecasting future bond yields. This study examines the best predictive yields for future bond yields at different maturities of 1-, 3-, 5-, 7-, and 10-years using time series data of economic indicators covering the period from 1998 to 2020. The empirical findings support the hypothesis that macroeconomic factors influence bond yield fluctuations. In terms of forecasting future bond yields, static predictions reveal that in most cases, the BVAR model offers the best predictivity of bond rates at various maturities. Furthermore, the BVAR model has the best performance in dynamic rolling-window, forecasting bond yields with various maturities for 2-, 4-, and 8-quarters. The findings of this study imply that the BVAR model forecasts future yields more accurately and consistently than other competitive models. Our research could help policymakers and investors predict bond yield changes, which could be important in macroeconomic policy development.

목차

1. Introduction

2. Literature Review

3. Data and Methodology

4. Empirical Results and Discussion

5. Conclusions and Policy Implications

References

키워드

Yield Curve Bond Yield Thai Bond Market Forecasting VAR