The influence of monetary factors on the formation of nominal interest rates

Abstract

Subject. This article examines the impact of inflation expectations and the real interest rate on the market situation in Russia within the period from 2010 to 2022. Objectives. The article aims to test the possible disputability of the assumption that if the real interest rate remains stable, then the nominal interest rate should respond to changes in inflation expectations, because according to the results of most research works, the Fisher hypothesis is not confirmed in developing countries, while for countries with developed economies this phenomenon is confirmed. Methods. For the study, I used econometric tests, as well as modeling of the effect using short-term regression with an element of error correction estimated by the least squares method. Results. The Fisher effect in the Russian market has not been confirmed, which emphasizes the specifics of the functioning of emerging markets. Conclusions and Relevance. The results of the study may be useful to financial market agents and can be used to assess the effect of the current regressors under study on the nominal yield of the Russian fixed-income securities market. The application of the results of the study can also contribute to improving the forecasting of market trends in a changing macroeconomic environment.