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State Debt Policy and Bonds Market Behaviour

Author

Listed:
  • Barinov Vitaly
  • Pervozvanskaya Tatyana
  • Pervozvansky Anatoly

Abstract

The authors examine the main factors determining state bond market yield dynamics and estimate the statistical characteristics of short-term transactions. Analysis of return time-series has shown that there exists an essential autocorrelation. Various forecasting schemes are tested, and predictors based on non-Gaussian distributions proved to be most effective. The decision algorithms have included a solution to the modified optimal portfolio problem, where the forecasts were used as expected returns and the covariance matrix was estimated via the forecasting errors. The authors show that these decision rules could effectively be applied in the Russian state bond market

Suggested Citation

  • Barinov Vitaly & Pervozvanskaya Tatyana & Pervozvansky Anatoly, 1999. "State Debt Policy and Bonds Market Behaviour," EERC Working Paper Series 99-05e, EERC Research Network, Russia and CIS.
    • Handle: RePEc:eer:wpalle:99-05e
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    References listed on IDEAS

    as
    1. F. A. Lutz, 1940. "The Structure of Interest Rates," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 55(1), pages 36-63.
    2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    state debt; short-term state bonds; portfolio theory; returnforecasting; decision rules; risk premia; performance evaluation;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • H74 - Public Economics - - State and Local Government; Intergovernmental Relations - - - State and Local Borrowing

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