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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

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    interest rate; government bond; Russia;
    All these keywords.

    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

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