ИСПОЛЬЗОВАНИЕ ИНДЕКСА RGBI ДЛЯ АНАЛИЗА ДИНАМИКИ ДОХОДНОСТИ ОФЗ

Abstract:
The purpose of the study is to identify exogenous factors determining the dynamics of the government bond index of the Russian Federation (RGBI) and to quantify the strength of their relationship with the state of the federal loan bond market. The hypothesis of the study is that the dynamics of the RGBI index is determined by the combined impact of monetary, inflationary and external economic factors that have a different impact on the government debt market. The methodological basis of the study was a correlation analysis of macroeconomic and financial indicators, a comparative analysis of dynamic series and a grouping of factors by the nature of their impact on the RGBI index. The scientific novelty of the study consists in a comprehensive quantitative assessment of the impact of macroeconomic and financial factors on the RGBI index over a single time interval, identifying the degree of their relationship with the dynamics of the government bond market and forming a classification of the most significant exogenous determinants of the index. The following results were obtained in the study: the key exogenous factors determining the dynamics of the RGBI index were identified; the degree of interrelation of the index with monetary, inflationary and foreign economic indicators was assessed; the most significant factors influencing the government bond market were identified; the classification of factors according to the channels of their impact on the RGBI index was formed. The conclusions can be used in analyzing the state of the OFZ market, forecasting the dynamics of the RGBI index and assessing the impact of macroeconomic factors on the government debt market.