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    FORECASTING GOVERNMENT BOND YIELDS IN THAILAND 

    Wantana Buaban; Yuthana Sethapramote; Yuthana Sethapramote (National Institute of Development Administration, 3/6/2022)

    This dissertation aims to comprehensively investigates key macroeconomic factors and bond yield interaction in Thai bond market, and analyzes the impacts of both domestic and international economic factors on the fixed income yields in different maturities of 1-, 3-, 5-, 7-, and 10-year movements, as well as forecasts the future bond yields of different maturities with macroeconomy, including comparing the best predictive yields with each model. Through estimating VAR, Bayesian VAR, and Single Equation (SE) approaches as well as Random Walk (RW) ...