Econometric Analysis and Forecasting of Operations in the Government Securities Market of Uzbekistan
Year: 2026
Type: article
Abstract: The government securities market (GSM) is a core component of financial-market infrastructure, supporting public financing, monetary-policy transmission, and the formation of benchmark yields. This paper analyses primary-market operations in Uzbekistan using 344 government-security auctions from 26 December 2018 to 4 June 2026, combined with the Central Bank of Uzbekistan (CBU) monthly policy-rate series from January 2013 to June 2026. Two benchmark instruments are examined in depth: the 1-year (364/365-day) discount bill (n=107, February 2021–June 2026) and the 3-year (1095/1097-day) coupon bond (n=36, June 2022–June 2026). The empirical toolkit comprises descriptive statistics, correlation analysis, augmented Dickey–Fuller (ADF) tests, OLS regression with heteroskedasticity- and autocorrelation-consistent (HAC) standard errors, sub-period analysis, and ARIMA (1,1,1) forecasting. The results show a strong statistical association between the 3-year yield, the policy rate, and the time trend (R²=0.917), while the full-sample relationship for the 1-year bill is weak (R²=0.074). The regime analysis indicates a positive policy-rate coefficient during the 2021–2022 tightening cycle, whereas the 2023–2026 estimate is unstable and sensitive to multicollinearity because the policy rate moved within a narrow range. The ADF results indicate non-stationarity in levels; however, the 1-year first-difference result is only marginal at the 10% level (p=0.064), so an I(1) classification should be treated cautiously. Accordingly, the level regressions are interpreted as conditional associations rather than definitive causal pass-through estimates because no cointegration test is reported. A supplementary sample of 20 recent auctions shows only 1–5 active primary dealers per auction. The paper concludes with policy recommendations grounded in the World Bank–IMF framework for government bond-market development, ADB evidence, and ICMA market standards.
Author: Kholikov Khamidulla
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7204253406