Yield Curve Analysis for Government Securities in India

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.