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Interest Rates and Domestic Borrowing Costs in the Medium-Term Perspective

  • Dvorkovich Arkady

    ()

  • Gurvich Evsey

    ()

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    The study was aimed at forecasting interest rates of the Russian government securities. The system of simultaneous equations was constructed, including as endogenous variables GKO interest rate, interest rate for Russian currency securities, Central Bank refinancing rate, and expected exchange rate. The model’s accuracy proved to be fairly high on historic data. It was found that ‘market integration’ was increasing over the period, and this growth accounts for 2/3 of the observed decline in the GKO interest rates from 1995 to 1997. Though the model provides good description of the interest rates before the financial crisis, its performance during the crisis period deserves further analysis.

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    File URL: https://eercnetwork.com/default/download/creater/working_papers/file/c3725552f671b20d27019d352e57fea0d5ed09ec.pdf
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    Paper provided by EERC Research Network, Russia and CIS in its series EERC Working Paper Series with number 99-08e.

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    Length: 48 pages
    Date of creation: 04 Apr 2000
    Date of revision:
    Handle: RePEc:eer:wpalle:99-08e
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    1. Fama, Eugene F, 1975. "Short-Term Interest Rates as Predictors of Inflation," American Economic Review, American Economic Association, vol. 65(3), pages 269-82, June.
    2. Robert Mundell, 1963. "Inflation and Real Interest," Journal of Political Economy, University of Chicago Press, vol. 71, pages 280.
    3. Darby, Michael R, 1975. "The Financial and Tax Effects of Monetary Policy on Interest Rates," Economic Inquiry, Western Economic Association International, vol. 13(2), pages 266-76, June.
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