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Benchmarking Russian’ Government Bond Market

Author

Listed:
  • Boris I. Alekhin

    (Russian State University for Humanities, Moscow 125993, Russia)

Abstract

This article describes how the Russian government has tried to create a liquid government bond market by using auctions to concentrate its domestic debt in key maturities. The maturity structure of bonds for 2005–2017 is calculated and explored in absolute and relative terms. For comparison the author uses the Italian Treasury issuance policy. Bonds with maturity 3, 5, 10 and 15 years dominate the Russian government’s debt portfolio. However issuance is characterized by bonds’ long-life cycle, unstable auction cycles and long distances between the last auction of an outgoing bond, the first auction of the incoming one and other shortfalls, while Italian issuance is determined by “extreme regularity, transparency, and predictability”. To reduce exposure to volatility and liquidity risks auction participants reduce their bids.

Suggested Citation

  • Boris I. Alekhin, 2018. "Benchmarking Russian’ Government Bond Market," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 95-108, December.
    • Handle: RePEc:fru:finjrn:180608:p:95-108
    DOI: 10.31107/2075-1990-2018-6-95-108
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    References listed on IDEAS

    as
    1. Kenneth Barbade & Paul Bennett & John Kambhu, 2000. "Enhancing the liquidity of U.S. Treasury securities in an era of surpluses," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 89-119.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    public debt; benchmark bonds; bond issuance; auction; liquidity;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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