Year-end Sale % OFF 
Abstract
This study investigates the effect of macroeconomic factors on the conditional volatility of developed and emerging bond markets using ARMAGARCH model and examines the effect of macroeconomic factors themselves rather than the effect of announcement of macroeconomic factors. The findings show that the macroeconomic factors exhibit a significant relationship with volatility in all the bond markets, more specifically in the emerging bond markets. It is found that past lags explain bond volatility in India, Brazil, USA, UK and Japan, which reasserts that the assumptions of random walk hypothesis does not hold true and bond markets are predictable in the long run. The predictive power of macroeconomic variables and ARMA terms is high in the Indian and Brazilian bond market compared to the developed bond markets. The study shows that, similar to the equity market, the bond market too incorporates information on economic activity and it is more significant in emerging markets.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
