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...

The project is devoted to the analysis of the term structure of interest rates at the Russian GKO market during the period from 1996 to 1998. The sources of inefficiency of the market operation that led to the failure of the pure expectations hypothesis are analyzed. The model with conditional...