IDEAS home Printed from https://ideas.repec.org/a/gai/rpaper/86.html
   My bibliography  Save this article

Modeling the term structure of interest rates on Russian government bonds in 2000 – 2008

Author

Listed:
  • Drobyshevsky Sergey

    (Gaidar Institute for Economic Policy)

  • Lugovoy Oleg

    (Gaidar Institute for Economic Policy)

  • Astafieva Ekaterina

    (Gaidar Institute for Economic Policy)

  • Burkova N. Yu.

Abstract

The study tests the standard hypotheses concerning the behavior of indi-ces describing the term structure of interest rates on the Russian GKO–OFZ market, identifies and analyzes the changes in the term structure of interest rates that occurred in the period between two crises (1998–2008) and their response to the transformation of macroeconomic indices in 1999–2008.

Suggested Citation

  • Drobyshevsky Sergey & Lugovoy Oleg & Astafieva Ekaterina & Burkova N. Yu., 2009. "Modeling the term structure of interest rates on Russian government bonds in 2000 – 2008," Research Paper Series, Gaidar Institute for Economic Policy, issue 130P.
  • Handle: RePEc:gai:rpaper:86
    as

    Download full text from publisher

    File URL: http://www.iep.ru/files/RePEc/gai/rpaper/86Drobyshevsky.pdf
    File Function: Revised version, 2012
    Download Restriction: no

    References listed on IDEAS

    as
    1. F. A. Lutz, 1940. "The Structure of Interest Rates," The Quarterly Journal of Economics, Oxford University Press, vol. 55(1), pages 36-63.
    2. Blanchard, Olivier J, 1981. "Output, the Stock Market, and Interest Rates," American Economic Review, American Economic Association, vol. 71(1), pages 132-143, March.
    3. J. M. Culbertson, 1957. "The Term Structure of Interest Rates," The Quarterly Journal of Economics, Oxford University Press, vol. 71(4), pages 485-517.
    4. J. E. Stiglitz, 1970. "A Consumption-Oriented Theory of the Demand for Financial Assets and the Term Structure of Interest Rates," Review of Economic Studies, Oxford University Press, vol. 37(3), pages 321-351.
    5. Turnovsky, Stephen J, 1989. "The Term Structure of Interest Rates and the Effects of Macroeconomic Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(3), pages 321-347, August.
    6. Sargent, Thomas J & Wallace, Neil, 1975. ""Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule," Journal of Political Economy, University of Chicago Press, vol. 83(2), pages 241-254, April.
    7. Turnovsky, Stephen J & Miller, Marcus H, 1984. "The Effects of Government Expenditure on the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(1), pages 16-33, February.
    8. Первозванский А.А. & Баринов В.Ю., 1997. "Прогнозирование И Оптимизация На Рынке Краткосрочных Облигаций," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 33(4), октябрь.
    9. McCafferty, Stephen, 1986. "Aggregate Demand and Interest Rates: A Macroeconomic Approach to the Term Structure," Economic Inquiry, Western Economic Association International, vol. 24(4), pages 521-533, October.
    10. Qiang Dai & Kenneth J. Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
    11. Robert R. Bliss, 1997. "Movements in the term structure of interest rates," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 16-33.
    12. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    13. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
    14. Mascaro, Angelo & Meltzer, Allan H., 1983. "Long- and short-term interest rates in a risky world," Journal of Monetary Economics, Elsevier, vol. 12(4), pages 485-518, November.
    15. LeRoy, Stephen F, 1982. " Expectations Models of Asset Prices: A Survey of Theory," Journal of Finance, American Finance Association, vol. 37(1), pages 185-217, March.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    interest rate; government bond; Russia;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gai:rpaper:86. 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: (Victor Hugues). General contact details of provider: http://edirc.repec.org/data/gaidaru.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.