The Development of the State Bond Market

Ivanter Alexander () and Anatoly Peresetsky

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

Abstract: In this paper we study relations between various segments of the Russian financial market (GKO market, currency market, interbank loans market and stock market). We pay special attention to the GKO market, which is remarkable for its volume and significance. We consider relations of the GKO market with currency (spot and forward) markets, stock market, and GKO futures market. It is shown that the interrelation between GKO market and stock market was growing over time. Therefore stock market returns can set up natural restrictions on the efforts made by the Central Bank with the purpose of decreasing GKO borrowing costs. The GKO nonzero risk premium was estimated as the costs of position hedging in the GKO futures market. The procedure used for estimating the risk premia may be useful for the governmental agencies as an instrument for estimating investors' expectations and, hence, future spot prices of any government debt obligations.

Keywords: financial market(s); GKO; futures; stocks; risk premium; forwards; government bond market; currency market; futures market; stock market (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 G18 (search for similar items in EconPapers)
Pages: 70 pages
Date: 1999-06-22
New Economics Papers: this item is included in nep-fin, nep-ifn and nep-ind
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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