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Analysis of Subnational Bonds Market, Risk-Premium and Its Determinants

Student: Kristina Silaeva

Supervisor: Anna Novak

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2020

Although recent research has led to a deeper understanding of the factors determining yields and yield spread on sub-national bonds in developed countries, there has been little corresponding work on Russian sub-national bonds market. This paper provides an empirical analysis of the impact on risk-premia by macroeconomic and fiscal determinants, such as debt to GRP ratio, direct transfers from central government, balance payments and others, on sub-national bond yield spreads, using a carefully constructed new dataset for the period from 2011 to 2019 for 85 Russian regions. As a result, we employ panel data regression which represents the relation between chosen variables and conducted data of spreads on regional bonds.

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