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Factors influencing the yield on federal loan bonds in Russia

Vol. 15, Iss. 8, AUGUST 2019

Received: 31 January 2019

Received in revised form: 21 February 2019

Accepted: 24 June 2019

Available online: 15 August 2019

Subject Heading: ECONOMIC POLICY OF THE STATE

JEL Classification: E44, G12, H69

Pages: 1406–1423

https://doi.org/10.24891/ni.15.8.1406

Alkina I.I. Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow, Russian Federation
alkina-ii@ranepa.ru

ORCID id: not available

Subject The study determines what influences the yield on federal loan bonds since it is an important scientific and practical aspect in making decisions on public debt management.
Objectives The study identifies factors influencing the yield on federal loan bonds for the period from 2003 through 2016.
Methods The theoretical framework includes proceedings of foreign and the Russian scholars who apply various approaches to determining and evaluating factors that influence the yield on government bonds. The data cover the time span from 2003 through 2016. The sample comprises 581 observations. The analysis relies upon the pool-based model.
Results I determined how characteristics of issues influenced the yield on federal loan bonds. The article shows what distinguishes the effect that foreign investors and their behavior have on the yield on government loans. We evaluate the impact of the carry trading strategy of commercial banks on the yield on federal loan bonds. The article systematized how characteristics of the financial system influenced the yield of federal loan bonds.
Conclusions and Relevance The duration and frequency of coupon yield payment have the most considerable effect. The amount of coupon yield and issue were not found to have any impact. As part of the pair-based model, the coupon yield is negative, having a considerable impact on the yield, which complies with the null hypothesis. As part of the other mode, I detected the negative correlation between the duration of the coupon period and the amount of the yield on federal loan bonds. The liquidity effect was not detected, signifying that investors consider all issues of federal loan bonds equally marketable.

Keywords: yield on government bonds, federal loan bonds, government securities

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