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Working paper

Моделирование кривой доходности на российском рынке государственного долга: макроэкономический подход

Новикова Н. П., Устюгова Ю. Б.
In this paper, we address the issue of modeling the term structure of interest rates on the Russian market of government bonds and discuss a general approach to incorporating macroeconomic factors into the model of term structure of interest rates. The analysis of the existing yield curve models and specific features of the Russian market allows us to determine the general methodology we would like to explore as applied to zero-coupon rates in the OFZ market. The outcome of our empirical exercise supports the existence of significant macro factor effects on the long-run level of yields and the slope of the yield curve. The approach should serve to a better understanding of the links between the evolution of the interest rates on the Russian government bonds, the economy and changes in the macroeconomic policies in recent years. It could be used as a starting point for analysis of the monetary policy transmission mechanism in Russia and forecasting of government bond yields for the purpose of public debt management.