Government Bond Indices And Market Rates: Evaluating Relationships

Abstract

In accordance with the established relationships between the indicators of the development of the government borrowing market and market rates, which acquire certain features in the process of the implementation of the Bank of Russia's monetary policy and performing its functions of placing government debt obligations on the exchange market, a representative instrument of the debt market is determined. It is the most sensitive to changes in market rates and flexibly protects investments from inflation. At the same time, the authors take into account the growth trends in the volume of public debt in recent years, the extent of the use of state debt obligations by organizations of the corporate banking sector in portfolio investments. The period of the key rate increase, which is characterized by an atypical situation for the exchange market: a weak inverse relationship between the studied indicators was additionally studied on the basis of duration. As a result, it was found that bonds with a duration of 1-3 years were the most profitable, according to the evaluation results, since there was a close relationship between the return on investments in them and market rates: a decrease in market rates led to an increase in their yield. Moreover, the main directions for the expansion of the generalized analysis of market parameters of the circulation of government bonds were identified in order to determine more stable, characteristic trends in its development and factor relationships in them.