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Interest Rates and Domestic Borrowing Costs in the Medium-Term Perspective

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Author Info
Dvorkovich Arkady ()
Gurvich Evsey ()
Abstract

The study was aimed at forecasting interest rates of the Russian government securities. The system of simultaneous equations was constructed, including as endogenous variables GKO interest rate, interest rate for Russian currency securities, Central Bank refinancing rate, and expected exchange rate. The model’s accuracy proved to be fairly high on historic data. It was found that ‘market integration’ was increasing over the period, and this growth accounts for 2/3 of the observed decline in the GKO interest rates from 1995 to 1997. Though the model provides good description of the interest rates before the financial crisis, its performance during the crisis period deserves further analysis.

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Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 99-08e.

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Length: 48 pages
Date of creation: 04 Apr 2000
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Handle: RePEc:eer:wpalle:99-08e

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Related research
Keywords: interest rates; financial market(s); GKO; domestic debt;

Find related papers by JEL classification:
E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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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. Darby, Michael R, 1975. "The Financial and Tax Effects of Monetary Policy on Interest Rates," Economic Inquiry, Oxford University Press, vol. 13(2), pages 266-76, June.
  2. Fama, Eugene F, 1975. "Short-Term Interest Rates as Predictors of Inflation," American Economic Review, American Economic Association, vol. 65(3), pages 269-82, June. [Downloadable!] (restricted)
  3. Aliber, Robert Z, 1973. "The Interest Rate Parity Theorem: A Reinterpretation," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1451-59, Nov.-Dec.. [Downloadable!] (restricted)
  4. Robert Mundell, 1963. "Inflation and Real Interest," Journal of Political Economy, University of Chicago Press, vol. 71, pages 280. [Downloadable!] (restricted)
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Cited by:
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  1. Andryakov Alexander & Gurvich Evsey, 2002. "A Model of the Russian Crisis Development," EERC Working Paper Series 02-03e, EERC Research Network, Russia and CIS. [Downloadable!]
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