The study was aimed at forecasting interest rates of the Russian government securities. The system of simultaneous equations was constructed, including as endogenous variables GKO interest rate, interest rate for Russian currency securities, Central Bank refinancing rate, and expected exchange...

In this paper we study relations between various segments of the Russian financial market (GKO market, currency market, interbank loans market and stock market). We pay special attention to the GKO market, which is remarkable for its volume and significance. We consider relations of the GKO...