This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The Development of the State Bond Market

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Ivanter Alexander ()
Peresetsky Anatoly ()
Abstract

In this paper we study relations between various segments of the Russian financial market (GKO market, currency market, interbank loans market and stock market). We pay special attention to the GKO market, which is remarkable for its volume and significance. We consider relations of the GKO market with currency (spot and forward) markets, stock market, and GKO futures market. It is shown that the interrelation between GKO market and stock market was growing over time. Therefore stock market returns can set up natural restrictions on the efforts made by the Central Bank with the purpose of decreasing GKO borrowing costs. The GKO nonzero risk premium was estimated as the costs of position hedging in the GKO futures market. The procedure used for estimating the risk premia may be useful for the governmental agencies as an instrument for estimating investors' expectations and, hence, future spot prices of any government debt obligations.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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: http://www.eerc.ru/details/download.aspx?file_id=3812
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 99-06e.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 70 pages
Date of creation: 22 Jun 1999
Date of revision:
Handle: RePEc:eer:wpalle:99-06e

Contact details of provider:
Postal: EERC Research Network, Russia and CIS, 47, Nakhimovsky pr-t, suite 919, Moscow, 117418 Russia
Phone: +7(095)332-4415
Fax: +1(202)478-1968
Web page: http://www.eerc.ru

Order Information:
Postal: EERC Research Network, Russia and CIS, 47, Nakhimovsky pr-t, suite 919, Moscow, 117418 Russia
Email:
Web: http://www.eerc.ru/publications/subscriptions/default.htm

For technical questions regarding this item, or to correct its listing, contact: (Dmitry Basovsky) The email address of this maintainer does not seem to be valid anymore. Please ask Dmitry Basovsky to update the entry or send us the correct address..

Related research
Keywords: financial market(s); GKO; futures; stocks; risk premium; forwards; government bond market; currency market; futures market; stock market;

Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
    Other versions:
  2. King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994. "Volatility and Links between National Stock Markets," Econometrica, Econometric Society, vol. 62(4), pages 901-33, July. [Downloadable!] (restricted)
    Other versions:
  3. Anthony J. Richards, 1996. "Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration," IMF Working Papers 96/28, International Monetary Fund.
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? You too can volunteer with RePEc.

This page was last updated on 2009-11-19.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.