Analysis of the yield factors of russian government bonds[Анализ Факторов Доходности Российских Облигаций Федерального Займа]

In this paper we study the mechanisms and the degree of influence of factors on the formation of the term structure of interest rates on the example of the coupon-free yield curve of Russian federal bonds (OFZ). The relevance of the study is due to the active growth of the capacity of the Russian OFZ market over the past few years and the increased role of this market in ensuring the efficiency of the transmission mechanism of monetary policy. The purpose of the study is to identify and assess the degree of influence of key factors, including monetary and fiscal policy, on the yield of Russian government bonds, the main methods - statistical and econometric analysis. The results of this study make it possible to identify significant external and internal factors in the formation of OFZ yields, as well as to formulate an approach to forecasting OFZ yields under various scenario parameters of monetary and fiscal policies. The conclusions of the study are that the key significant factors of Russian OFZ yields are the ratio of supply and demand volumes within the framework of government securities auctions, the direction of both domestic monetary policy and the policy of foreign regulators, fiscal policy, the state of liquidity in the banking sector, inflation expectations, devaluation expectations, country risk premium, the share of non-residents in Russian OFZs and the volume of government securities on the balance sheet of the Bank of Russia, uncertainty of the monetary policy of the Bank of Russia.