State Debt Policy and Bonds Market Behaviour
Pervozvanskaya Tatyana and
EERC Working Paper Series from EERC Research Network, Russia and CIS
The authors examine the main factors determining state bond market yield dynamics and estimate the statistical characteristics of short-term transactions. Analysis of return time-series has shown that there exists an essential autocorrelation. Various forecasting schemes are tested, and predictors based on non-Gaussian distributions proved to be most effective. The decision algorithms have included a solution to the modified optimal portfolio problem, where the forecasts were used as expected returns and the covariance matrix was estimated via the forecasting errors. The authors show that these decision rules could effectively be applied in the Russian state bond market
Keywords: state debt; short-term state bonds; portfolio theory; returnforecasting; decision rules; risk premia; performance evaluation (search for similar items in EconPapers)
JEL-codes: E51 G18 H63 H74 (search for similar items in EconPapers)
Pages: 54 pages
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