Modeling the term structure of interest rates on Russian government bonds in 2000–2008 (press-release)
The IET's press-office informs of a new research paper (No. 130) entitled "Modeling the term structure of interest rates on Russian government bonds in 2000–2008" (M.: IET, 2009. - 112 p.) by Drobyshevsky S.M., Lugovoy O.V., Astafieva E.V., Burkova N.Yu. was published under the series "Research Papers".
The study tests the standard hypotheses concerning the behavior of indices describing the term structure of interest rates on the Russian GKO–OFZ market, identifies and analyzes the changes in the term structure of interest rates that occurred in the period between two crises (1998–2008) and their response to the transformation of macroeconomic indices in 1999–2008.
The publication of the present paper was sponsored with the grant from the United States Agency for International Development (USAID).