Sovereign bonds of the cis countries: integration dynamics of debt markets in the context of external instability

The paper examines development specifics of sovereign bond markets in the CIS countries. The sample includes Russia, Kazakhstan, Uzbekistan and Azerbaijan, since only these countries, among the CIS members, possess enough sovereign bonds included in the global debt market. The relevance of the study is due to the increasing financial uncertainty, which attracts attention to relatively reliable means of public debt; the need to understand the functioning of debt markets against the background of antiRussian sanctions and the increasing influence of the State. The aim of the work is to empirically verify the connectivity, integration and predictability of the sovereign bond markets of Russia, Kazakhstan, Uzbekistan and Azerbaijan. Empirical data include daily refinancing rates of national central banks, indices of total sovereign bond yields, G-spreads of international bonds of the countries in relation to the conditionally risk-free US bond yield curve for 2019-2023. The effects of market development features are divided into local, regional and global, such as the reaction to COVID-19 and anti-Russian sanctions after 2022. We use the following methods: dynamics analysis, correlation, factor and regression analysis. The novelty of the research lies in introducing new empirical data into scientific discourse, testing a methodology that allows us to assess the interaction of monetary policies and the functioning of sovereign bond markets, common features and differences in the behavior of these markets before and after the imposition of sanctions against the Russian financial system. We conclude that the integration of the considered markets within the CIS is violated, which poses risks to the effective economic development of the region. We consider the relatively developed and integrated, but poorly predictable markets of Russia and Kazakhstan. Unlike Russia, Kazakhstan has more connectivity regarding its monetary policy, sovereign bond yields and risks. The yield of Azerbaijan’s sovereign bonds is influenced by a more developed market of Kazakhstan, especially in terms of risk assessment, but the market itself is developed poorly. Uzbekistan’s market is even less integrated and developed.