Confirmation of the influence of non-economic crises on the Russian bond market

Crises of a non-economic nature occur in the world with frightening regularity, and they consistently impact the economies of countries, entities, and households. The direct economic effect of the events such as COVID-19 or Special military operation itself often does not proportionally match the actual economic changes observed. This study examines the impact of the crises of 2020 and 2022 in Russia on the country's domestic bond market with the aim of confirming the anomalous behavior of the market. Standard approaches to time series analysis are used in the research. By using ARIMA model and the Chow test the structural shifts in the investigated bond indices, which used as proxies to reflect the market's condition, were found. The design of the study includes placebo testing, which confirmes stability of the testing results. The shifts obtained from the modeling coincide with the periods of actual crisis situations. Based on these results, the author concludes that there is statistical significance of structural shifts in the Russian bond market during these periods. These conclusions are consistent with various studies by other authors in Russia and around the world.