Движение процентных ставок в переходной экономике: Поведение временной структуры доходности государственных ценных бумаг
Диссертация
Изучение динамики средневзвешенной доходности ГКО дало ряд важных результатов. В частности, на временном горизонте до трех месяцев согласуется с эмпирическими данными гипотеза о том, что ожидания участников рынка, отражающиеся в уровне номинальной доходности ГКО, соответствуют будущим темпам инфляции, а также ожиданиям изменений курса рубля по отношению к доллару США (на основе котировок… Читать ещё >
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