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

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  • Dvorkovich Arkady

    ()

  • Gurvich Evsey

    ()

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    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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    Bibliographic Info

    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
    Date of revision:
    Handle: RePEc:eer:wpalle:99-08e

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    Postal: EERC Research Network, Russia and CIS, 1, Mazepy Str., suite 202, Kyiv, 01010 Ukraine
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    Related research

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

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