Advanced Search
MyIDEAS: Login to save this paper or follow this series

Explaining the Term Structure of Interest Rates. The GKO Market from 1996 to 1998

Contents:

Author Info

  • Kryukovskaya Olga

    ()

Registered author(s):

    Abstract

    The project is devoted to the analysis of the term structure of interest rates at the Russian GKO market during the period from 1996 to 1998. The sources of inefficiency of the market operation that led to the failure of the pure expectations hypothesis are analyzed. The model with conditional heteroskedasticity with several regimes for unconditional variance quite well describes the one-month GKO series and captures different behavior of the GKO volatility at the initial and final subperiods that were rich in various political and economic shocks.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: https://eerc.ru/default/download/creater/working_papers/file/87d0b6bc099b01e8051f78f88f48b277c72da275.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 03-07e.

    as in new window
    Length:
    Date of creation:
    Date of revision:
    Handle: RePEc:eer:wpalle:03-07e

    Contact details of provider:
    Postal: EERC Research Network, Russia and CIS, 1, Mazepy Str., suite 202, Kyiv, 01010 Ukraine
    Phone: +38(044)492-8012
    Fax: +1(202)478-1968
    Web page: http://www.eerc.ru

    Order Information:
    Postal: EERC Research Network, Russia and CIS, 1, Mazepy Str., suite 202, Kyiv, 01010 Ukraine
    Email:
    Web: https://eerc.ru/paper

    Related research

    Keywords: interest rates; government bonds; yield curve; term structure; conditional heteroskedasticity; regimes.;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eer:wpalle:03-07e. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anton Pashchenko).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.