Finance and Credit

Analyzing the influence of different economic variables on the yield spread of ruble-denominated corporate bonds

Vol. 24, Iss. 7, JULY 2018

Received: 16 May 2018

Received in revised form: 1 June 2018

Accepted: 27 June 2018

Available online: 27 July 2018

Subject Heading: Securities market

JEL Classification: E43, E44, G12, G18

Pages: 1669–1688

Sultanov I.R. National Research University Higher School of Economics, Moscow, Russian Federation

Importance The article analyzes the influence of different economic variables on the yield spread of Russian ruble-denominated corporate bonds. The research was conducted on the data of the primary bond market.
Objectives The purpose of the study is to build econometric models enabling to explain how and what variables influence the yield spread of ruble-denominated corporate bonds and to estimate the economic significance of the influence.
Methods The empirical part of the study includes a graphical analysis, its results are used to determine the functional form of the dependence. Then, I build the best econometric models calculated under the least square method and estimate the economic significance of the influence of different variables on corporate bonds' yield spread.
Results The paper presents two econometric models. The first model does not account for structural changes over time, the second one does.
Conclusions and Relevance The influence of certain variables depends on certain period of the economy. Furthermore, the variables that are specific for a particular issue have a more significant impact on the yield spread of corporate bonds as compared with other considered variables.

Keywords: corporate bond, yield spread, ruble-denominated bond, bond market


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