On the Determinants of Sovereign Eurobond Spreads in Russia
О факторах, определяющих спрэды суверенных еврооблигаций России
Igor Belyakov ()
Ekonomicheskaya Politika / Economic Policy, 2017, vol. 1, 200-225
Abstract:
The cost of external sovereign borrowing is divided into two components — the first reflects the price of socalled riskfree borrowing on the global market and the second represents the level of sovereign credit risk for a given country. The paper analyses the determinants of risk premium for Russiaissued sovereign dollardenominated Eurobonds and the impact of oil prices on the Russian sovereign Eurobonds spread in particular. While there are many empirical studies on the determinants of the sovereign spreads for emerging markets countries, the studies on this topic for oildependent countries or for Russia specifically are scarce. The paper systemizes the results of the issues for emerging markets countries and also gives a comparison with the adjacent topic — determinants of sovereign credit default swaps. The model developed in the paper uses the wellknown GARCH technique with monthly data from 2003 to 2016, including EMBIG index, S&P500 and VIX indices, oil prices and the macroindicators of the Russian economy. The analysis justifies the foremost role of the global factors as determinants of the Russian spread and gives a row of elasticity estimations. In particular, the impact of oil prices on Russian sovereign Eurobond spreads is proved to be negative and significant. The results of this study could be used in the planning and elaboration of the Russian sovereign debt policy. In particular, the findings are relevant to the strategy of optimization of expected borrowing costs.
Keywords: public debt; sovereign bond; yield spread; GARCH; oil prices (search for similar items in EconPapers)
JEL-codes: G12 G15 H63 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
https://repec.ranepa.ru/rnp/ecopol/ep1708.pdf
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:rnp:ecopol:ep1708
Access Statistics for this article
Ekonomicheskaya Politika / Economic Policy is currently edited by Vladimir Mau
More articles in Ekonomicheskaya Politika / Economic Policy from Russian Presidential Academy of National Economy and Public Administration Contact information at EDIRC.
Bibliographic data for series maintained by RANEPA maintainer ().