A study on macroeconomic factors affecting government bond yields: the case of Malaysian bond market / Nurul Aisyah Atan

This study investigates the macroeconomic factors affecting the government bond yields by analyzing the relationship between the government bond yields that is measured by yield to maturity (YTM), with the inflation (INF), interest rate (INT), exchange rate (EXC), money supply (MS) and stock index (SI). This study covers the Malaysian bond market in which Malaysia government decides to make the bonds as priority in the market and become the main sources for long term financing due to the Asian financial crisis that has been occurred in year 1997 (Fabella & Madhur, 2003). Besides, this study chose Malaysian government bond as the financial data from the year of 2007 to 2016 were used 40 observations for this study. A multiple linear regression analysis was executed in this study to see the relationship between dependent and independent variables. The dependent variable is government bond yields and is measured by the yields to maturity (YTM), whereas the independent variables are inflation, interest rate, exchange rate, money supply and stock index. As a result this study found interest rate, money supply and stock index have significant and negative impact on government bond yields whereas inflation has significant and positive impact on government bond yields while only exchange rate has negative and insignificant effect on government bond yields.