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Government Bond Indices And Market Rates: Evaluating Relationships

Table 4: Relationship between government bond indices and the key rate of the Bank of Russia in the period from January 2021 to October 2021

Date Key rate of the Central Bank FLB index,RGBITR IndexRUGBITR1Y IndexRUGBITR3Y IndexRUGBITR5Y IndexRUGBITR10Y IndexRUGBITR5+
01/28/21 4.25 615.93 187.58 542.21 559.49 583.33 612.05
28.02.21 4.25 604.73 187.95 540.26 550.06 567.84 595.8
03/31/21 4.50 600.12 188.53 538.37 546.30 562.89 591.63
04/30/21 5.00 603.90 187.83 533.87 549.04 565.28 594.28
05/30/21 5.00 605.25 187.60 528.13 542.42 558.18 586.65
06/30/21 5.50 603.89 187.78 524.20 535.70 557.73 586.51
07/30/21 6.50 614.19 188.26 527.64 543.60 570.47 600.01
08/30/21 6.50 614.22 189.28 530.00 544.86 568.57 598.05
09/30/21 6.75 606.8 189.72 528.76 539.83 560.85 589.17
30.10.21 7.50 587.73 190.25 520.74 522.01 535.5 562.5
Correlation coefficients of indices with the key rate of the Bank of Russia on the Chaddock scale
– –0.09 0.83 –0.83 –0.77 –0.59 –0.57
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