2018, Vol. 1, Issue 1

author(s)
Rahul Rangotra

abstract
The study examines the impact of two major international financial crises: the dot-com bubble in 2001 (i.e., crashing of internet companies) and the Global Financial Crisis (GFC) of 2008 on the short, medium, and long-term government securities (G-Secs) yield & curvature, level, and slope of the yield curve (YC) in the Indian G-Secs market. Data of G-Secs yield is downloaded from the Reserve Bank of India (RBI) database on the Indian economy. F-test and t-test are used for data analysis. The results indicate that average short, medium, and long-term G-Secs' yields and level of YC have decreased while the curvature has increased significantly after the Dot-com bubble of 2001. Further, results also indicate that the Dot-com bubble of 2001 has no significant impact on volatility in the Indian G-Secs market. Regarding the impact of GFC of 2008, the results show that after the average medium and the long-term yield, and level and slope of the YC have increased while average curvature has decreased significantly. Further, F-test also shows that the standard deviation has increased significantly after the GFC of 2008 for short-term yield, slope, and curvature. Therefore, two international financial crises show mixed results that warn the Investors investing in the Indian fixed income market during the global financial crisis. It is difficult to predict the direction of the change in yield and shape of YC in the Indian G-Secs market during the global financial crisis.