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Nominal Yields on the Russian Government Bond Market: The Analysis of the Fisher Effect

Author

Listed:
  • Arshavskiy, Alexander

    (National Research Institute Higher School of Economics)

  • Rodionova, Alena

    (National Research Institute Higher School of Economics)

Abstract

The article investigates the Fisher effect on the domestic Russian government bond market during the period from 2003 to 2011. Via using a spectrum of econometric methods (ARDL-bounds test, Johansen test) the authors try to evaluate the long-run dynamics of the nominal yield as a long-run co-integrating relationship with inflationary expectations, and to outline the features of inflationary shocks’ influence in the short-run.

Suggested Citation

  • Arshavskiy, Alexander & Rodionova, Alena, 2012. "Nominal Yields on the Russian Government Bond Market: The Analysis of the Fisher Effect," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, pages 68-84, August.
    • Handle: RePEc:rnp:ecopol:ep1242
    as

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