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Educational Programme
Final Grade
Year of Graduation
Alisa Zakirova
Determinants of Credit Spreads Changes: Evidence from the Russian Bond Market
Financial Economics
(Master’s programme)
This paper is on the main determinants of corporate bonds spreads in Russia on domestic

(ruble bond) and Eurobond market. This is still an understudied theme, mostly because only

during the past decade ruble corporate debt issues have become empirically studies feasible. The

contribution of my study is to separate the role of three groups of variables: bond- specific, firm-

specific and macroeconomic factors in Russian corporate bonds. In this research I focus only on

bonds, which is currently tradable. This research is based in daily data over the period since the

beginning 2013 until for 2 April 2018. As a result, I will present two models with robust result,

interpretation of it, and comparison output in two models. Finally I get results witch confirm

with previous analysis, however specific relationships with some determinants and credit spreads

was investigated, as well as an inclusion of new factor “ news sentiment”. This analysis is useful

for bondholders, issuers, investors in decision-making.

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