Nominal Yields on the Russian Government Bond Market: The Analysis of the Fisher Effect

被引：0
|
作者：
Arshavskiy, Alexander [1 ,2 ]
Rodionova, Alena [2 ,3 ]
机构：
[1] HSE, Econ Sci, Moscow, Russia
[2] HSE, Stock Market Dept & Investment Market, Moscow, Russia
[3] HSE, Analyt Lab Analyst Financial Markets LFAF, Moscow, Russia
来源：
EKONOMICHESKAYA POLITIKA | 2012年 / 04期
关键词：
government bond yields; government bonds; interest rates; inflationary expectations; Fisher hypothesis; co-integration; error-correction;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The article investigates the Fisher effect on the domestic Russian government bond market during the period from 2003 to 2011. Via using a spectrum of econometric methods (ARDL-bounds test, Johansen test) the authors try to evaluate the long-run dynamics of the nominal yield as a long-run co-integrating relationship with inflationary expectations, and to outline the features of inflationary shocks' influence in the short-run.
引用
收藏
页码：68 / +
页数：18
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