Macro-economic determinants of UK treasury bonds spread

Citation

Soh, Wei Chee and Cheng, Fan Fah (2012) Macro-economic determinants of UK treasury bonds spread. In: National Research & Innovation Conference for Graduate Students in Social Sciences (GS-NRIC 2012), 7-9 Dec. 2012, Mahkota Hotel, Melaka. (pp. 59-69).

Abstract

This paper studies the relationship between eight macroeconomic determinants and the UK government bond yields. The paper also enhances the previous researches on relationship between macroeconomic factors and the gilts yields. The results show that only 1) short term interest rates have strong and negative impact on five-year, ten-year and twenty-year UK government bond yields. 2) The exchange rates have significant and positive relationship with five-year UK government bond yield. Whereas, the other macroeconomics variable have no impact on the yields and yield spreads of the UK government bonds.

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Additional Metadata

Item Type:	Conference or Workshop Item (Paper)
Divisions:	Faculty of Economics and Management
Publisher:	Faculty of Economics and Management, Universiti Putra Malaysia
Keywords:	Macro-economic determinants; Interest rate; Exchange rate; Government bond yield
Depositing User:	Nabilah Mustapa
Date Deposited:	03 Apr 2017 05:48
Last Modified:	03 Apr 2017 05:48
URI:	http://psasir.upm.edu.my/id/eprint/51223
Statistic Details:	View Download Statistic

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