Nominal Yields on the Russian Government Bond Market: The Analysis of the Fisher Effect

Alexander Arshavskiy () and Alena Rodionova ()
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Alexander Arshavskiy: National Research Institute Higher School of Economics
Alena Rodionova: National Research Institute Higher School of Economics

Ekonomicheskaya Politika / Economic Policy, 2012, 68—84

Abstract: The article investigates the Fisher effect on the domestic Russian government bond market during the period from 2003 to 2011. Via using a spectrum of econometric methods (ARDL-bounds test, Johansen test) the authors try to evaluate the long-run dynamics of the nominal yield as a long-run co-integrating relationship with inflationary expectations, and to outline the features of inflationary shocks’ influence in the short-run.

Keywords: government bond yields; government bonds; interest rates; inflationary expectations; Fisher hypothesis; co-integration; error-correction (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:rnp:ecopol:ep1242

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