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Influence of News on the Term Structure of Interest Rates in Russia

Student: Glazov Vladislav

Supervisor: Victor A Lapshin

Faculty: International College of Economics and Finance

Educational Programme: Financial Economics (Master)

Year of Graduation: 2018

Arrivals of new information through public announcements by mass media and information agencies revise market expectations about current and future economic conditions and shift the yield curve in accordance with these changes. The study seeks to extend the scarce literature about the influence of news on developing markets by applying the novel distant supervision approach to news classification and evaluating the effects of positive and negative announcements, the oil price, foreign exchange rate and VIX index on the Nelson-Siegel latent factors in Russia over 2011-2017 through the multivariate VAR-BEKK framework. As it is shown, although significant, different types of news affect only particular parts of the term structure of interest rates which is important to know in order to forecast the behavior of the financial market. Keywords: macroeconomic news, yield curve, VAR-GARCH, distant supervision

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