ECONOMETRIC EVALUATION OF FACTORS INFLUENCING THE YIELD OF GOVERNMENT BONDS IN THE REPUBLIC OF ARMENIA

Abstract

Government bond yield dynamics reflect a complex and multi-layered interplay between macroeconomic stability, monetary policy decisions, fiscal debt management, and broader financial market conditions. This paper investigates the primary structural drivers behind the yields of short-term, medium-term, and long-term treasury bonds issued by the Republic of Armenia. Utilizing monthly time-series empirical data spanning from January 2011 to December 2025, we construct dynamic econometric regression models in the EViews software suite using the Ordinary Least Squares (OLS) estimation methodology. Rigorous econometric diagnostic testing confirms the statistical robustness, model adequacy, and complete absence of multicollinearity, autocorrelation, or heteroskedasticity issues. The empirical findings indicate that the Central Bank of Armenia’s refinancing rate serves as the primary benchmark driving yields across all maturity horizons. Exchange rate fluctuations (USD/AMD) demonstrate a statistically significant, asymmetric transmission effect, pushing short-term yields upward due to immediate risk premium demands, while exercising an inverse influence on medium- and long-term yields as institutional investors seek long-dated real return locks. Furthermore, retail bank deposit rates and general economic activity indices show negligible direct statistical leverage on bond yields, underscoring persistent market segmentation and the dominant role of institutional market players. To enhance market depth and liquidity, policy makers should focus on expanding retail participation through digital investment platforms and strengthening secondary market-making institutions.