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Yield Curve Analysis for Government Securities in India

Ashok K. Nag and Sudip K. Ghose
Economic and Political Weekly
Vol. 35, No. 5, Money, Banking and Finance (Jan. 29 - Feb. 4, 2000), pp. 339-341+343-348
Stable URL: http://www.jstor.org/stable/4408880
Page Count: 9
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Yield Curve Analysis for Government Securities in India
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Abstract

This study demonstrates the feasibility of constructing technically sound yield curves in the Indian context. It sets out a methodological basis for construction of yield curves for government securities in India and accordingly constructs yield curves for each of the months during the financial years 1996-97 and 1997-98, and a part of 1998-99. These yield curves are interpreted in the light of established theories. It is observed that these yield curves have significant policy implications.

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