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สถาบันวิจัยเศรษฐกิจป๋วย อึ๊งภากรณ์
Puey Ungphakorn
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Call for Papers: PIER Research Workshop 2025
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1 June 2016
20161464739200000
No. 030

Daily Movements in the Thai Yield Curve: Fundamental and Non-Fundamental Drivers

Abstract

This paper attempts to identify the key determinants of daily yield movements in the Thai government bond market. It finds that Thai short-term yield movements are solely driven by domestic factors, namely policy rate expectations and bond supply. By contrast, longer-tenor yields are also found to be affected by global factors, namely global monetary conditions and global risk appetite. Apart from these “fundamental” factors, the net-buying pressures of foreign players, and not those of domestic investors, are also found to exert significant influence over the Thai medium and long rates. Taken alone, this finding may appear somewhat alarming as it implies that foreign activity can be a significant source of market volatility. Further investigations suggest, however, that the detected foreign influence may be due to informational reasons; foreign investors lead yield movements because they provide price-relevant “private” information to the market. Viewed in this light, the detected foreign influence may not altogether be so detrimental, at least insofar as normal periods are concerned.

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JEL: D82E43E44G12
Tags: sovereign bond yieldsmarket microstructureforeign participation
The views expressed in this workshop do not necessarily reflect the views of the Puey Ungphakorn Institute for Economic Research or the Bank of Thailand.
Jakree Koosakul
Jakree Koosakul
International Monetary Fund

Puey Ungphakorn Institute for Economic Research

273 Samsen Rd, Phra Nakhon, Bangkok 10200

Phone: 0-2283-6066

Email: pier@bot.or.th

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