• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Determinants of Credit Spreads Changes: Evidence from the Russian Bond Market

Student: Zakirova Alisa

Supervisor: Alexandre Abramov

Faculty: International College of Economics and Finance

Educational Programme: Financial Economics (Master)

Year of Graduation: 2018

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.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses