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Modeling the term structure of interest rates on Russian government bonds in 2000 – 2008

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Author Info

  • Drobyshevsky Sergey

    (Gaidar Institute for Economic Policy)

  • Lugovoy Oleg

    (Gaidar Institute for Economic Policy)

  • Astafieva Ekaterina

    (Gaidar Institute for Economic Policy)

  • Burkova N. Yu.

Abstract

The study tests the standard hypotheses concerning the behavior of indi-ces describing the term structure of interest rates on the Russian GKO–OFZ market, identifies and analyzes the changes in the term structure of interest rates that occurred in the period between two crises (1998–2008) and their response to the transformation of macroeconomic indices in 1999–2008.

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File URL: http://www.iep.ru/files/RePEc/gai/rpaper/86Drobyshevsky.pdf
File Function: Revised version, 2012
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Bibliographic Info

Article provided by Gaidar Institute for Economic Policy in its journal Research Paper Series.

Volume (Year): (2009)
Issue (Month): 130P ()
Pages:

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Handle: RePEc:gai:rpaper:86

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Keywords: interest rate; government bond; Russia;

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