mirМИР (Модернизация. Инновации. Развитие)MIR (Modernization. Innovation. Research)2079-46652411-796XSchool of Public Administration10.18184/2079-4665.2024.15.4.576-592mir-1776Research ArticleИННОВАЦИИINNOVATIONРоссия, Китай и США: восприятие эффектов на рынке корпоративных облигацийRussia, China and the USA: perception of effects in the corporate bond markethttps://orcid.org/0000-0002-7764-5566РомашкинаГ. Ф.RomashkinaG. F.

Ромашкина Гульнара Фатыховна, доктор социологических наук; профессор; кафедра экономической безопасности, системного анализа и контроля

Researcher ID: O-7221-2017, Scopus ID: 57219916692

Тюмень

Gulnara F. Romashkina, Doctor of Economic Sciences, Professor; Department of Economic Security, System Analysis and Control

Researcher ID: O-7221-2017, Scopus ID: 57219916692

Tyumen

g.f.romashkina@utmn.ruhttps://orcid.org/0000-0002-9365-9714ЮхтановаЮ. А.YukhtanovaYu. A.

Юхтанова Юлия Александровна, кандидат экономических наук; доцент; кафедра экономической безопасности, системного анализа и контроля

Researcher ID: AEI-2479-2022, Scopus ID: 57207889888

Тюмень

Yuliya A. Yukhtanova, Candidate of Economic Sciences, Associate Professor; Department of Economic Security, System Analysis and Control

Researcher ID: AEI-2479-2022, Scopus ID: 57207889888

Tyumen

y.a.yukhtanova@utmn.ruhttps://orcid.org/0000-0002-9919-8541БогданенкоА. А.BogdanenkoA. A.

Богданенко Анна Андреевна, инженер-исследователь; кафедра экономической безопасности, системного анализа и контроля

Тюмень

Anna A. Bogdanenko, Research Engineer, Economics; Department of Economic Security, System Analysis and Control

Tyumen

bogdanenko_a@mail.ruТюменский государственный университетРоссияTyumen State UniversityRussian Federation202413012025154576592Copyright © Ромашкина Г.Ф., Юхтанова Ю.А., Богданенко А.А., 20252025Ромашкина Г.Ф., Юхтанова Ю.А., Богданенко А.А.Romashkina G.F., Yukhtanova Y.A., Bogdanenko A.A.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://www.mir-nayka.com/jour/article/view/1776Цель

Цель. Выявление динамики взаимных влияний и рисков на рынках корпоративных облигаций РФ, Китая и США в условиях нестабильности внешней среды.

Методы

Методы. Использовались методы сравнительного и эконометрического анализа ежедневных данных с 2016 по 2024 гг., включающих средние доходности краткосрочных и среднесрочных корпоративных и государственных облигаций РФ, Китая и США, цены продажи золота, нефти, курсы валют, ставки рефинансирования. Вычислены модели GARCH прогноза волатильности индекса корпоративных облигаций РФ и Китая под влиянием внутренних и внешних факторов, многомерной квантильной регрессии для отраслей РФ.

Результаты работы

Результаты работы. Выделены 6 этапов изменений динамики долгового рынка корпоративных облигаций под влиянием самого рынка и внешних факторов. Периодизация позволила изучить влияние краткосрочных и долгосрочных эффектов шоков на долговом рынке. Для РФ вес волатильности предыдущего периода более чем в два раза выше веса долгосрочной средней волатильности. Для Китая такое соотношение еще выше. На долговой рынок РФ влияют долговые рынки Китая и США, но обратное не доказано. Сформированы три группы отраслей экономики РФ по общности реакции на внешние воздействия.

Выводы

Выводы. В кризисные периоды возрастает вес долгосрочной средней волатильности рынка и локальных факторов, снижается вес внешних факторов. Доказано долгосрочное влияние шоков волатильности. Понимание взаимодействий внутренних и внешних факторов позволяет инвесторам предвидеть рыночные колебания, адаптироваться и защищать капиталы. Для государства это предоставляет возможность разработки научно-обоснованных прогнозов рисков и использования новых финансовых инструментов, таких как юаневые облигации.

Purpose

Purpose: is to identify the dynamics of mutual influences and risks in the corporate bond markets of Russia, China, and the United States under conditions of external environmental instability.

Methods

Methods: the methods of comparative and econometric analysis of daily data from 2016 to 2024 were used, including the average yields of short- and medium-term corporate and the government bonds of the Russian Federation, China and the United States, selling prices of gold, oil, exchange rates, refinancing rates. GARCH models for forecasting the volatility of the index of corporate bonds of the Russian Federation and China under the influence of internal and external factors, multidimensional quantile regression for industries of the Russian Federation are calculated.

Results

Results: six stages of changes in the dynamics of the corporate bond debt market under the influence of the market itself and external factors were highlighted. Periodization made it possible to study the impact of short-term and long-term effects of shocks on the debt market. For the Russian Federation, the volatility weight of the previous period is more than twice the weight of the long-term average volatility. For China, this ratio is even higher. The debt market of the Russian Federation is influenced by the debt markets of China and the United States, but the opposite has not been proven. Three groups of branches of the Russian economy have been formed according to the generality of reaction to external influences.

Conclusions and Relevance: during crisis periods, the weight of long-term average market volatility and local factors increases, while that of external factors decreases. Understanding the interactions of internal and external factors allows investors to anticipate market fluctuations, adapt and protect capital. For the Government, this provides an opportunity to develop scientifically sound risk forecasts and use new financial instruments such as yuan bonds.

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The authors declare that there are no conflicts of interest present.