The Development of the State Bond Market
In this paper we study relations between various segments of the Russian financial market (GKO market, currency market, interbank loans market and stock market). We pay special attention to the GKO market, which is remarkable for its volume and significance. We consider relations of the GKO market with currency (spot and forward) markets, stock market, and GKO futures market. It is shown that the interrelation between GKO market and stock market was growing over time. Therefore stock market returns can set up natural restrictions on the efforts made by the Central Bank with the purpose of decreasing GKO borrowing costs. The GKO nonzero risk premium was estimated as the costs of position hedging in the GKO futures market. The procedure used for estimating the risk premia may be useful for the governmental agencies as an instrument for estimating investors' expectations and, hence, future spot prices of any government debt obligations.
|Date of creation:||22 Jun 1999|
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