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Modeling the term structure of interest rates on Russian government bonds in 2000 – 2008

Sergey Drobyshevsky, Oleg Lugovoy, Ekaterina Astafieva and Burkova N. Yu.

Research Paper Series, 2009, issue 130P

Abstract: The study tests the standard hypotheses concerning the behavior of indi-ces describing the term structure of interest rates on the Russian GKO–OFZ market, identifies and analyzes the changes in the term structure of interest rates that occurred in the period between two crises (1998–2008) and their response to the transformation of macroeconomic indices in 1999–2008.

Keywords: interest rate; government bond; Russia (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 (search for similar items in EconPapers)
Date: 2009
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http://www.iep.ru/files/RePEc/gai/rpaper/86Drobyshevsky.pdf Revised version, 2012 (application/pdf)

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