Russia, China and the USA: perception of effects in the corporate bond market
https://doi.org/10.18184/2079-4665.2024.15.4.576-592
Abstract
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: 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: 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.
Keywords
crisis,
profitability,
corporate bonds,
government bonds,
foreign market,
domestic market,
volatility
Supporting agencies: The study was carried out with the financial support of the Russian Science Foundation within the framework of project No. 23-28-01321 "Analysis of the behavior of debt market participants in crisis situations in related economies".
About the Authors
G. F. Romashkina
Tyumen State University
Russian Federation
Russian Federation
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
Yu. A. Yukhtanova
Tyumen State University
Russian Federation
Russian Federation
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
A. A. Bogdanenko
Tyumen State University
Russian Federation
Russian Federation
Anna A. Bogdanenko, Research Engineer, Economics; Department of Economic Security, System Analysis and Control
Tyumen
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Review
For citations:
Romashkina G.F., Yukhtanova Yu.A., Bogdanenko A.A. Russia, China and the USA: perception of effects in the corporate bond market. MIR (Modernization. Innovation. Research). 2024;15(4):576-592. (In Russ.) https://doi.org/10.18184/2079-4665.2024.15.4.576-592
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