ผลกระทบของปัจจัยเศรษฐศาสตร์มหภาคต่อโครงสร้างอัตราดอกเบี้ย ในตลาดตราสารหนี้ไทยตามแบบจำลองสเวนส์สันหลังปรับปรุง

Abstract

The objective of this independent study is to determine the impact of macroeconomic factors on term structure of interest rates in Thai bond market using adjusted Svensson model. Government yield curve and macroeconomic factors; namely inflation rate, policy rate and public debt rate are used in the study. The period of study extends from January 2010 to December 2019. The study is divided into two parts. The first part deals with comparison study of forecasting ability of adjusted Svensson model, Nelson-Siegel model and Svensson model to forecast the term structure of interest rate. The second part studies how to increase the efficiency to forecast a term structure of interest rate, using adjusted Svensson model. This is attained by adding macroeconomic factors to simulate time series model or VAR model. The result suggests that each model is able to accurately predict the term structure of interest rate only in certain periods of remaining time. The adjusted Svensson model, for example, is capable of doing so in the period of seven to ten years remaining time. Whereas, the Nelson-Siegel model accurately predicts in the period of remaining one month to one year and Svensson model is effective in prediction for the period of remaining two to six years. Adding macroeconomic factors to VAR model reveals that integrating inflation rate into VAR model can enhance the efficiency of the adjusted Svensson model so it can better forecast the term structure within the period of remaining one month to one year. Addition of public debt rate to VAR model, on the other hand, enables adjusted Svensson model to effectively predict the term structure with two to ten years maturity. However, policy rate plays no role in enhancing the prediction of term structure of interest rate.