Digest Finance
 

Issue of index-linked Federal loan bonds in line with expected inflation: Some aspects

Vol. 24, Iss. 2, JUNE 2019

PDF  Article PDF Version

Received: 10 November 2016

Received in revised form: 18 November 2016

Accepted: 25 November 2016

Available online: 28 June 2019

Subject Heading: SECURITIES AND FINANCIAL MARKETS

JEL Classification: E37, E62

Pages: 162–179

https://doi.org/10.24891/df.24.2.162

Bundin M.A. Financial Research Institute under Ministry of Finance of Russian Federation, Moscow, Russian Federation
bundin@nifi.ru

ORCID id: not available

Subject The research pursues modeling the inflation in the consumer market in line with inflation and devaluation expectations. It also reviews how it would be possible to use results of inflation forecast for evaluating the parameters of index-linked federal loan bonds upon their redemption.
Objectives The research forecasts annual inflation trends in the consumer market up to 2017 and baseline Consumer Price Index until the redemption of the index-linked federal loan bonds. I also evaluate the basic parameters of issue 52001 of index-linked federal loan bonds.
Methods The research involves a correlation and regression analysis of time series, using the Demetra+ and Gretl software.
Results The growth rate of consumer prices are expected to gradually slow down until 2017. Applying results of the inflation modeling to evaluate future parameters of the inflation linkage of federal loan bonds, I estimated their average annual yield and par value of the bonds as of the redemption date and the date before the issue.
Conclusions and Relevance Issued by the Ministry of Finance of the Russian Federation, index-linked bonds can be considered as anti-inflation safeguards in regard with data on their nominal yield assessed in line with projected inflation.

Keywords: inflation, inflation expectations, forecasting, bonds, internal debt

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