| Abstract [eng] |
66 pages, 9 pictures, 24 tables and 64 references. The purpose of this Master thesis is to analyze and evaluate the impact of selected determinants for Lithuanian Government bonds (with maturities of 1,5 and 10 years) during the period of 2015 to 2022. This Master thesis is structured with an introduction, three main chapters, conclusions and recommendations, and a summary in English. The first chapter involves an analysis of literature sources concerning government bonds and the determinants affecting their yield. The most commonly studied factors in research have been inflation, exchange rates, government debt, foreign direct investment, GDP growth and central banks‘s interest rates. Also, there are some research on the impact of COVID-19, climate change, fluctuations in oil prices and the policies of central banks on government bond yield. These researches show that the same factors have a stronger correlation with government bonds yields in different countries and economies. The second chapter describes the methodology and the stages of the thesis research. Based on literature and prior studies, the following determinants were chosen for evaluation and analysis: inflation, base interest rate, industrial production, unemployment rate and stock index OMXVGI. The third chapter is dedicated to the examination and evaluation of chosen factors impact on Lithuanian government bonds yield, this examination involves the following methods: Pearson correlation, multiple linear regression, and Granger causality tests. The conclusions suggest that, based on multiple linear regression results, Government bonds of varying durations respond uniquely to distinct determinants. However, Granger causality tests reveal a causal connection between bonds of 1, 5, and 10-year durations and inflation, base interest rate, unemployment rate (except 10-year duration) industrial production and the stock index OMXVGI factors. |
