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Analyzing the Impact of Various Economic Metrics on Yield Spreads of the Russian Ruble-Denominated Corporate Bonds

Журнал «Дайджест-Финансы»
т. 23, вып. 3, сентябрь 2018

Получена: 16.05.2018

Получена в доработанном виде: 01.06.2018

Одобрена: 27.06.2018

Доступна онлайн: 28.09.2018

Рубрика: SECURITIES AND FINANCIAL MARKETS

Коды JEL: E43, E44, G12, G18

Страницы: 336-349

https://doi.org/10.24891/df.23.3.336

Importance In this research, I analyze the impact of various economic metrics on yield spreads of the Russian ruble-denominated corporate bonds. The sample includes data from January 1, 2007 through December 31, 2016.
Objectives The research is aimed to build econometric models for explaining which indicators the yield spread of the Russian ruble-denominated corporate bonds depends on. I also evaluate the economic significance of the impact the indicators have.
Methods I conducted a graphic analysis, selected and set the best econometric models, which are assessed through the least square method. The article also presents the economic significance of the impact that variables have on yield spreads of corporate bonds, and interprets their substance.
Results The article outlines two econometric models. The first one is not configured to any structural (temporary) bends, while the second one is designed in line with them.
Conclusions and Relevance Some variables are found to have a different impact depending on an economic period. Variables, which are specific to a certain issue of bonds and entity, demonstrate a greater impact on yield spreads in comparison with the other ones.

Ключевые слова: corporate bonds, yield spread, Ruble bonds, Russian bond market, bond market

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