Recent Econometric and Financial Research
Recent Econometric and Financial Research
The first chapters of the book identified all the potential reasons Russian bond prices remained resilient despite the formal announcement of their repudiation. The purpose of this chapter is to determine the relative importance of each of these factors from a quantitative perspective. In a first phase the analysis determines the dates on which market prices for Russian bonds underwent major changes. In a second phase, the impact of a specific factor, expectations of a bailout, is scrutinized. Results highlight the predominant influence of events, whether actual or rumored, connected to the Russian civil war. Expectations of repayment by France had a strong influence in 1920 but less so in the previous years. Announcements of a Soviet or White repayment played only a secondary role. As for bailout expectations their impact is far from negligible.
Keywords: Bailout expectations, Extreme returns, Econometrics, VAR methodology
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