Estimation of Municipal Bonds Yields Sensitivity to Key Rate Changes

Student: Vereshchak Evgenii

Supervisor: Peter Meylakhs

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Economics (Bachelor)

Year of Graduation: 2021

This paper assessed the sensitivity of bond yield to changes in the key rate of the Central Bank of the Russian Federation. By reviewing the existing studies hypotheses were made regarding the factors affecting the bond yield. Further, a database was formed, which includes the Central Bank's key rate, federal loan bond yields, sub-federal bond index yields, sub-federal bond yields in four regions (St. Petersburg, Moscow, Sverdlovsk Region and Krasnoyarsk Krai), gross regional product growth and the share of the deficit in regional income. The data cover the period from 2009 to 2019.

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