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СТРАТЕГИЯ БЕГСТВА К КАЧЕСТВУ В УСЛОВИЯХ СОВРЕМЕННОГО ФИНАНСОВОГО РЫНКА
С. 174–176.
Makarova V. A.
This article presents an approach to identify signs of a change in the investment strategy of investors towards the so-called flight to safety as a response to the growing uncertainty of investment returns. Based on the analysis of the term structure of the interest rate and the study of the dynamics of the government bond yield-tomaturity drift, it is shown that the priority of investors in favour of less risky assets shifts long before significant events on the market. This situation may arise partly because of reaction to insider information, as well as in connection with reaching the end of the next phase of economic growth for endogenous reasons.
In book
СПб.: РГПУ им. А.И. Герцена, 2023.
Makushkin M., Финансы и кредит 2025 Т. 17 № 5 С. 8–25
In recent years, amid the tightening of the monetary policy, floating-rate sovereign bonds (OFZ-PK) have come to play a significant role in the Russian bond market. In conditions of high interest rate volatility, they appear to be an attractive instrument for investors because they reduce the interest rate risk. This makes the analysis of OFZ-PK ...
Added: January 26, 2026
Avakyan A., Kuznetsova O., Экономическая политика 2024 Т. 19 № 6 С. 54–81
The acceleration of government expenditures and public debt in both developed and developing countries has prompted concerns about the medium-term sustainability of fiscal policies. If these trends persist, countries may reach a point in the coming decades when fiscal dominance is challenged and the central bank’s ability to combat inflation through higher interest rates is ...
Added: November 17, 2024
А. В. Мишура, Вопросы экономики 2021 № 4 С. 135–156
This work examines the current world experience in assessing the sensitivity of household mortgage borrowing to interest rates. The data of the “bank— region—year” format are used to estimate supply and demand equations for housing loans issued by banks in the regions of the country in 2015—2018. Our estimations have revealed that the demand on ...
Added: October 11, 2023
Утевская М. В., Makarova V. A., Бударин А. Н., Экономический вектор 2023 № 2(33) С. 139–150
The article examines the relationship between the COVID-19 crisis and the change in the structure of the PRC market using the example of bonds with a high degree of safety based on data from 2020. The authors discover the existence of a relationship between structural changes in the market and the time of the pandemic, ...
Added: June 18, 2023
Васильева Е. А., Ponomarenko A. A., Поршаков А. С., Вопросы экономики 2009 № 8 С. 66–85
Added: March 28, 2023
Kosov M., Бондаренко Н. О., Финансы и кредит 2019 Т. 25 № 9 (789) С. 2083–2095
Subject .The article considers similarities and differences of models for sovereign wealth fund management in Russia and Norway. Objectives. We focus on comparing the models of sovereign wealth funds management in Russia and Norway, analyzing the identified trends, developing the proposals aimed at maximizing the efficiency of budget reserves to promote economic growth on the verge of ...
Added: September 2, 2021
Vilkul D., Немцева А. А., Финансы и бизнес 2020
Almost a quarter of Russian government domestic bonds (OFZ) are issued as floating rate
bonds. Due to the peculiarities of cash flow, yields of such bonds are calculated differently than of
fixed coupon bonds and have different interpretation.
However, in some trading platforms (for example, MICEX Trade SE) and other information
sources yield measures for Russian government bonds with ...
Added: October 19, 2020
Sharipova A., Арьков В. Ю., Вестник Южно-Уральского государственного университета. Серия: Компьютерные технологии, управление, радиоэлектроника 2017 Vol. 17 No. 3 P. 88–98
A practical approach to estimating of the investment strategy robustness is presented. As a quantitative measure of robustness, the objective function smoothness degree is proposed for utilization. After the optimization has been conducted, it is essential to utilize an additional criterion for the selection of strategies that possess better robustness property. The utilization of the ...
Added: October 17, 2020
Teplova T., Sokolova T., Munir Q., NY: Routledge, 2020.
The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds.
The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features ...
Added: October 8, 2020
Teplova T., Mikova E., М.: ИНФРА-М, 2019.
Риски глобальной экономики растут, несмотря на ралли на рынке акций начала 2019 года. 2019 год стал феноменальным для инвесторов в российский рынок. И рублевые, и долларовые индексы на российские акции оказались лидерами глобального рынка капитала, дивидендная доходность также лидирует по рос- сийским компаниям. Число индивидуальных инвестиционных счетов летом 2019 года перевалило за 1 млн, а ...
Added: February 5, 2020
Андросов К. Г., Бизнес. Общество. Власть 2018 № 4 (30) С. 75–80
В данной статье представлены основные тезисы мастер-класса управляющего партнера Altera Capital Кирилла Андросова, прошедшего в рамках общеуниверситетского факультатива НИУ ВШЭ «GR в современной России: теория и практика». В ходе своего выступления лектор объяснил действие ключевого механизма принятия инвестиционного решения, обсудил причины экономического спада в России и его влияние инвестиции, а также рассказал об инвестиционных возможностях, открывающихся даже в ...
Added: October 25, 2019
Финансы и кредит 2019 Т. 25 № 7 С. 1663–1679
Subject The research investigates the Dog of the Dow strategy implying the formation of a portfolio of stocks yielding high dividends.
Objectives The study evaluates the efficiency of the Dog of the Dow strategy with respect to the Russian stock market for the period from 2005 through 2018.
Methods The methodological framework includes methods of statistical and ...
Added: October 10, 2019
Malyshev P., Мировая экономика и международные отношения 2011 № 3 С. 28–36
Added: December 2, 2017
Kuznetsova O., Zhemkov M., Вопросы экономики 2017 № 10 С. 111–122
This paper is devoted to the measurement of inflation expectations in Russia based on stock market data for the period from July 2015 to December 2016. It calculates the difference between the yields of the nominal and inflation-indexed government bonds and adjusts it to the inflation risk premium and liquidity risk premium to obtain inflation ...
Added: October 14, 2017
Mamonov M. E., Вопросы экономики 2017 № 4 С. 79–99
This paper analyzes how banks react on the interest rate policy of their rivals when the industry-wide price competition is strengthening over different phases of business cycle in both retail and corporate segments of credit market in Russia. Our estimations, based on the models proposed in the literature on New Industrial Empirical Organization (NIEO), show ...
Added: June 14, 2017