Explaining the Term Structure of Interest Rates. The GKO Market from 1996 to 1998

Kryukovskaya Olga ()

EERC Working Paper Series from EERC Research Network, Russia and CIS

Abstract: The project is devoted to the analysis of the term structure of interest rates at the Russian GKO market during the period from 1996 to 1998. The sources of inefficiency of the market operation that led to the failure of the pure expectations hypothesis are analyzed. The model with conditional heteroskedasticity with several regimes for unconditional variance quite well describes the one-month GKO series and captures different behavior of the GKO volatility at the initial and final subperiods that were rich in various political and economic shocks.

Keywords: interest rates; government bonds; yield curve; term structure; conditional heteroskedasticity; regimes. (search for similar items in EconPapers)
JEL-codes: G14 G18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis and nep-tra
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