Abstract
In the article, based on the established relationships between indicators of the development of the government borrowing market and market rates, a representative debt market instrument is identified that is most sensitive to changes in market rates and flexibly protects investments from inflation. At the same time, the trends in the growth of the volume of public debt in recent years, the extent of the use of state debt obligations by organizations of the corporate banking sector in portfolio investments are taken into account. The correlation dependence between the change in the key rate of the Bank of Russia and the government securities index was assessed for two periods characterized by the Bank's monetary policy aimed at lowering or raising the market rate. In the context of a decrease in the key rate, there is an increase in market prices for debt instruments on the exchange market, which means a drop in their yield to maturity. The period of the key rate increase, which is characterized by an atypical situation for the exchange market: a weak inverse relationship between the studied indicators, was additionally studied on the basis of duration. As a result, it was found that bonds with a duration of 1–3 years were the most profitable, according to the evaluation results, since there was a close relationship between the profitability of investments in them and market rates: a decrease in market rates leads to an increase in their profitability.
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