An Empirical Analysis on the Determinants of the Russian Government Bond Yields

Abstract

The article considers the behavior of the nominal rates of return on the domestic Russian government bond market under the influence of a wide range of macroeconomic parameters, indicators of monetary policy and money market, international factors and political and economic events during the period from 2003 to 2011. The authors outline the key determinants of the Russian government bond yields of various maturities and estimate the long-run cointegrating relationship with inflationary expectations.