Analysis of the yield factors of russian government bonds

Анализ факторов доходности российских облигаций федерального займа

Bozhechkova, Alexandra (Божечкова, Александра) (), Drobyshevsky, Sergey (Дробышевский, Сергей) (), Dzhunkeev, Urmat (Джункеев, Урмат) (), Orazov, Meilis (Оразов, Мейлис) () and Trunin, Pavel (Трунин, Павел) ()
Additional contact information
Bozhechkova, Alexandra (Божечкова, Александра): The Russian Presidential Academy of National Economy and Public Administration
Drobyshevsky, Sergey (Дробышевский, Сергей): The Russian Presidential Academy of National Economy and Public Administration
Dzhunkeev, Urmat (Джункеев, Урмат): The Russian Presidential Academy of National Economy and Public Administration
Orazov, Meilis (Оразов, Мейлис): The Russian Presidential Academy of National Economy and Public Administration
Trunin, Pavel (Трунин, Павел): The Russian Presidential Academy of National Economy and Public Administration

Working Papers from Russian Presidential Academy of National Economy and Public Administration

Abstract: In this paper we study the mechanisms and the degree of influence of factors on the formation of the term structure of interest rates on the example of the coupon-free yield curve of Russian federal bonds (OFZ). The relevance of the study is due to the active growth of the capacity of the Russian OFZ market over the past few years and the increased role of this market in ensuring the efficiency of the transmission mechanism of monetary policy. The purpose of the study is to identify and assess the degree of influence of key factors, including monetary and fiscal policy, on the yield of Russian government bonds, the main methods - statistical and econometric analysis. The results of this study make it possible to identify significant external and internal factors in the formation of OFZ yields, as well as to formulate an approach to forecasting OFZ yields under various scenario parameters of monetary and fiscal policies. The conclusions of the study are that the key significant factors of Russian OFZ yields are the ratio of supply and demand volumes within the framework of government securities auctions, the direction of both domestic monetary policy and the policy of foreign regulators, fiscal policy, the state of liquidity in the banking sector, inflation expectations, devaluation expectations, country risk premium, the share of non-residents in Russian OFZs and the volume of government securities on the balance sheet of the Bank of Russia, uncertainty of the monetary policy of the Bank of Russia.

Keywords: term structure of interest rates; monetary policy; yield curve; financial market; interest rate (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 G10 G11 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://repec.ranepa.ru/rnp/wpaper/w202328.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:wpaper:w202328

Access Statistics for this paper

More papers in Working Papers from Russian Presidential Academy of National Economy and Public Administration Contact information at EDIRC.
Bibliographic data for series maintained by RANEPA maintainer ().