Determinants of Vietnam Government Bond Yield Volatility: A GARCH Approach |
TRINH, Quoc Trung
(University of Economics and Law)
NGUYEN, Anh Phong (Faculty of Finance and Banking, University of Economics and Law) NGUYEN, Hoang Anh (Faculty of Finance and Banking, University of Economics and Law) NGO, Phu Thanh (Faculty of Finance and Banking, University of Economics and Law) |
1 | Alexandre, H., & Antonin, B. D. (2010). Oil prices and government bond risk premiums. Lahore Journal of Business, 1(1), 1-21. DOI |
2 | Alexopoulou, I., Bunda, I., & Ferrando, A. (2010). Determinants of government bond spreads in new EU countries. Eastern European Economics, 48(5), 5-37. DOI |
3 | Klose, J., & Weigert, B. (2014). Sovereign yield spreads during the euro crisis: Fundamental factors versus redenomination risk. International Finance, 17(1), 25-50. DOI |
4 | Laubach, T. (2009). New evidence on the interest rate effects of budget deficits and debt. Journal of the European Economic Association, 7(4), 858-885. DOI |
5 | Lin, F.L., Yang, S.Y., Marsh, T., & Chen, Y.F. (2018). Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis. International Review of Economics & Finance, 55, 285-294. DOI |
6 | Liu, W., & Morley, B. (2009). Volatility forecasting in the hang seng index using the GARCH approach. Asia-Pacific Financial Markets, 16(1), 51-63. DOI |
7 | Nguyen, H. H. (2019). The Role of State Budget Expenditure on Economic Growth: Empirical Study in Vietnam. Journal of Asian Finance, Economics and Business, 6(3), 81-89. https://doi.org/10.13106/jafeb.2019.vol6.no3.81 DOI |
8 | Maltritz, D. (2012). Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach. Journal of International Money and Finance, 31(3), 657-672. DOI |
9 | Martinez, L. B., Terceno, A., & Teruel, M. (2013). Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis. Emerging Markets Review, 17, 60-75. DOI |
10 | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370. DOI |
11 | Pham, T. H. H. (2014). Sovereign bond yields in emerging Asia: New evidence. Working paper, HAL. Retrieved from HAL website: https://hal.archives-ouvertes.fr/hal-01012093/document |
12 | Poghosyan, T. (2014). Long-run and short-run determinants of sovereign bond yields in advanced economies. Economic Systems, 38(1), 100-114. DOI |
13 | Balli, F. (2009). Spillover effects on government bond yields in euro zone. Does full financial integration exist in European government bond markets? Journal of Economics and Finance, 33(4), 331-363. DOI |
14 | Andersson, M., Krylova, E., & Vahamaa, S. (2008). Why does the correlation between stock and bond returns vary over time? Applied Financial Economics, 18(2), 139-151. DOI |
15 | Ardagna, S., Caselli, F., & Lane, T. (2007). Fiscal discipline and the cost of public debt service: some estimates for OECD countries. The BE Journal of Macroeconomics, 7(1). https://doi.org/10.2202/1935-1690.1417 |
16 | Baldacci, E., Gupta, S., & Mati, A. (2011). Political and fiscal risk determinants of sovereign spreads in emerging markets. Review of Development Economics, 15(2), 251-263. DOI |
17 | Charles, A., & Darne, O. (2019). The accuracy of asymmetric GARCH model estimation. International Economics, 157, 179-202. DOI |
18 | De Goeij, P., & Marquering, W. (2004). Modeling the conditional covariance between stock and bond returns: A multivariate GARCH approach. Journal of Financial Econometrics, 2(4), 531-564. DOI |
19 | Diebold, F. X., & Li, C. (2006). Forecasting the term structure of government bond yields. Journal of Econometrics, 130(2), 337-364. DOI |
20 | Dua, P., & Raje, N. (2014). Determinants of yields on government securities in India. Margin: The Journal of Applied Economic Research, 8(4), 375-400. DOI |
21 | Engle, R. (2001). GARCH 101: The use of ARCH/GARCH models in applied econometrics. Journal of Economic Perspectives, 15(4), 157-168. DOI |
22 | Sun, J. (1998). Changes in energy consumption and energy intensity: a complete decomposition model. Energy economics, 20(1), 85-100. DOI |
23 | Gale, W. G., & Orszag, P. R. (2003). Economic effects of sustained budget deficits. National Tax Journal, 6(3), 463-485. DOI |
24 | Gill, N. (2018). A research on eurozone bond market and determinants of sovereign bond yields. Journal of Financial Risk Management, 7(2), 174-190. DOI |
25 | Radier, G., Majoni, A., Njanike, K., & Kwaramba, M. (2016). Determinants of bond yield spread changes in South Africa. African Review of Economics and Finance, 8(2), 50-81. |
26 | Reschreiter, A. (2003). Risk factors of inflation-indexed and conventional government bonds and the APT. Proceedings of the Money, Macro and Finance (MMF) Conference, University of Cambridge, UK, July, 2003. |
27 | Ross, Stephen A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory 13, 341-360. DOI |
28 | Sahadudheen, I. (2015). An Exponential GARCH Approach to the Effect of Impulsiveness of Euro on Indian Stock Market. Journal of Asian Finance, Economics and Business, 2(3), 17-22. https://doi.org/10.13106/jafeb.2015.vol2.no3.17 DOI |
29 | Schwert, G. W. (1989). Why does stock market volatility change over time? Journal of finance, 44(5), 1115-1153. DOI |
30 | Tu, T. T., & Liao, C. W. (2020). Block Trading Based Volatility Forecasting: An Application of VACD-FIGARCH Model. Journal of Asian Finance, Economics and Business, 7(4), 59-70. https://doi.org/10.13106/jafeb.2020.vol7.no4.59 DOI |
31 | Zaja, M. M., Jakovcevic, D., & Visic, L. (2018). Determinants of the government bond yield: Evidence from a highly euroised small open economy. Proceedings of the 8th Business & Management Conference, Venice, January, 2018 |
32 | Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. DOI |
33 | Haque N. U., Mark N.C., & Mathieson, D. J. (1998). The relative importance of political and economic variables in creditworthiness ratings. IMF Working Paper. Retrieved from IMF website: https://www.imf.org/external/pubs/ft/wp/wp9846.pdf |
34 | Gilles, C., & LeRoy, S. F. (1991). On the arbitrage pricing theory. Economic Theory, 1(3), 213-229. DOI |
35 | Giordano, L., Linciano, N., & Soccorso, P. (2012). The determinants of government yield spreads in the Euro Area. CONSOB Working Papers No. 71. Retrieved from: http://dx.doi.org/10.2139/ssrn.2158709 |
36 | Gruber, J. W., & Kamin, S. B. (2012). Fiscal positions and government bond yields in OECD countries. Journal of Money, Credit and Banking, 44(8), 1563-1587. DOI |
37 | Han, S. H., Kang, K., & Shin, Y. S. (2016). Bond ratings, corporate governance, and cost of debt: The case of Korea. Journal of Asian Finance, Economics and Business, 3(3), 5-15. https://doi.org/10.13106/jafeb.2016.vol3.no3.5. DOI |
38 | Hsing, Y. (2015). Determinants of the government bond yield in Spain: a loanable funds model. International Journal of Financial Studies, 3(3), 342-350. DOI |
39 | Jaramillo, L., & Weber, A. (2013). Bond yields in emerging economies: it matters what state you are in. Emerging Markets Review, 17, 169-185. DOI |
40 | Ilmanen, A. (2003). Stock-bond correlations. The Journal of Fixed Income, 13(2), 55-66. DOI |
41 | Kalimipali, M., & Susmel, R. (2004). Regime-Switching Stochastic Volatility and Short-term Interest Rates. Journal of Empirical Finance, 11(3), 309-329. DOI |
42 | Kameda, K. (2014). Budget deficits, government debt, and longterm interest rates in Japan. Journal of the Japanese and International Economies, 32, 105-124. DOI |
43 | Kinoshita, N. (2006). Government debt and long-term interest rates (No. 2006-2063). International Monetary Fund. |