Formation of yield and value of government bonds: classification of factors and development of a system of models for their assessment

The article studies and systematizes the main factors affecting the valuation of Russian government bonds (OFZ). The article presents studies by foreign and domestic scientists assessing the impact of various factors on the yield and value of bonds in different countries. As a result of the analysis of various factors and the principle of their influence, their classification into three main groups is proposed: monetary (influencing monetary policy), fiscal (characterizing the state as a borrower) and global (signaling the volume of external demand for bonds). Next, the data is analyzed and a model system is developed to evaluate the value and profitability of bonds. The assessment is carried out using a revenue approach. The modeled values of the coupon-free yield curve of OFZ are used as discount rates, which allows for an assessment under various economic conditions. The principal component analysis was used for modeling, which made it possible to identify three key components: the level, slope and bulge of the curve. Structural changes in the market after 2022, including sanctions and the departure of non-residents, are being investigated through F-tests and correlation regression analysis, which revealed an increase in volatility and an increase in the influence of fiscal factors. To account for market regimes, a hidden Markov model is proposed that integrates the dynamics of key variables. The results demonstrate that the developed model system makes it possible to estimate the value of OFZs in various economic conditions, taking into account the interrelation of factors and structural shifts. The research contributes to understanding the mechanisms of formation of valuation of government bonds in the Russian economy.