September 10, 2025Economic PolicyOpen Access

Using the Yield Curve of Russian Federal Bonds to Analyze Market Expectations

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Econometric test reveals insights into interest rates and market expectations amidst financial challenges.

The analysis shows that future interest rates change in the same direction as the yield curve slope, indicating market expectations.
Using seemingly unrelated regression equations, significant correlation was found between long-term and expected short-term interest rates.
The study highlights that market participants may underestimate inflation risks, particularly during economic crises.
The stability of long-term expectations post-inflation targeting shows confidence in regulatory effectiveness to manage inflation.

Bozhechkova et al. (2025) studied this question.

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