Formation of long-term rate of return: Fisher effect in the markets of public debt of developing countries

Формирование долгосрочного уровня доходности: эффект Фишера на рынках государственного долга развивающихся стран

Rodionova, Alena (Родионова, Алена) ()
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Rodionova, Alena (Родионова, Алена): National Research Institute Higher School of Economics

Ekonomicheskaya Politika / Economic Policy, 2014, vol. 1, 116-139

Abstract: The presented paper is devoted to the study of the long-term effect on domestic Fischer government securities markets of the BRIC countries (Brazil, Russia, India and China) in the period from 2003 to 2012. With the help of the relevant econometric tools (mainly methodology ARDL-bounds test) simulated a long-term trajectory of the dynamics of return, formed on the basis of the convergence of inflationary expectations. The results of the empirical estimates suggest the absence of a full Fisher effect in all countries of the BRIC, with a positive correlation was found with a nominal yield of inflation expectations in the long term in Russia, China and the short-term segment of the yield curve in Brazil.

Keywords: yields on government securities; inflation expectations hypothesis Fisher Cointegration (search for similar items in EconPapers)
Date: 2014
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