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Debt, Recovery Rates and the Greek Dilemma
Journal of Financial Stability. 2018. No. 26. P. 265-278.
Most discussions of the Greek debt overhang have focussed on the implications for Greece. We show that when additional funds released to the debtor (Greece), via debt restructuring, are used efficiently in pursuit of a practicable business plan, then both debtor and creditor can benefit. We examine a dynamic two country model calibrated to Greek and German economies and support two-steady states, one with endogenous default and one without, depending on creditors expectations. In the default steady state, debt forgiveness lowers the volatility of both German and Greek consumption whereas demanding higher recovery rates has the opposite effect.
Goodhart C., Isakov K., Peiris Udara et al., HSE Economic Journal 2018 Vol. 22 No. 3 P. 460-479
We investigate the consequences of excessive international debt overhang as they relate to both debtor and creditor countries. In particular, we assess the impact of monetary policy on financial stability and how it can be used to smooth borrowers, as well as creditors, consumption over the business cycle. Based on [Goodhart, Peiris, Tsomocos, 2018], we ...
Added: October 14, 2018
Peiris U., Sokolova A., Tsomocos D., / University of Oxford. Series Saïd Business School "WP 2017". 2017. No. 03.
The post-2008 period focused attention on "twin-crises". Banking crises may lead to sovereign crises where fiscal vulnerabilities are exacerbated by the extension of support for the banking system. We develop a model that describes private sector generated capital inflow that is used to finance investment and consumption expenditure. In the event of an economic contraction, ...
Added: November 28, 2017
Mamonov M. E., Pestova A., Pankova V. et al., Экономическая политика 2020 Т. 15 № 5 С. 130-159
This paper provides a joint analysis of business and credit cycles with a focus on unobservable factors affecting both cycles, at the cross-country level. Using quarterly data for 19 developed countries and Russia for the period from 1994 to 2018, we build a system of two dynamic probit models, which includes a cross-correlation between the ...
Added: July 9, 2021
Shcherbakova A., Россия в глобальной политике 2021 Т. 19 № 1 (107) С. 243-253
The article examines the most important crisis in the history of Argentina. ...
Added: January 11, 2021
Malakhovskaya O. A., Minabutdinov A., / Высшая школа экономики. Series WP BRP "Economics/EC". 2013. No. WP BRP 48/EC/2013.
This paper constructs a DSGE model for an economy with commodity exports. We estimate the model on Russian data, making a special focus on quantitative effects of commodity price dynamics. There is a widespread belief that economic activity in Russia crucially depends on oil prices, but quantitative estimates are scarce. We estimate an oil price ...
Added: January 28, 2014
Springer, 2019
This volume focuses on the analysis and measurement of business cycles in Brazil, Russia, India, China and South Africa (BRICS). Divided into five parts, it begins with an overview of the main concepts and problems involved in monitoring and forecasting business cycles. Then it highlights the role of BRICS in the global economy and explores ...
Added: June 21, 2016
Pestova A., Вопросы экономики 2013 № 7
The objective of this study is to develop a system of leading indicators of the business cycle turning points on a wide range of countries, including Russia, over a more than thirty years period. We use a binary choice model with the dependent variable of the state of economy: the recession, there is no recession. ...
Added: June 6, 2013
Порошина Агата Максимовна, Управление экономическими системами: электронный научный журнал 2012 № 12
В статье раскрыта проблема моделирования кредитного риска на рынке ипотечного кредитования и представлен обзор соответствующих эмпирических работ. Выделены ключевые события, оказавшие влияние на формирование подходов к моделированию процесса принятия решения на рынке ипотечного кредитования, такие как развитие теории поведения потребителей, институциональной экономики, теории портфельных инвестиции, а позднее ипотечного кризиса в США в 2007-2009 гг., а ...
Added: December 25, 2012
Koshovets O., Igor E. Frolov, Journal of International Scientific Publications: Economy & Business 2014 Vol. 8 P. 399-412
It is now widely accepted that modern economic science failed to foresee the financial and economic crisis of 2008-2009. However it is appear that there is still a lack of understanding fundamental causes of this crush and its aftermath. The available standard forecasting models and theories for the growth of the global economy are barely ...
Added: October 15, 2014
Smirnov S. V., / Высшая школа экономики. Series EC "Economics". 2014. No. 77.
There is evidence in the economic literature that near cyclical peaks an optimistic bias exists in private expert forecasts of real GDP growth rates. Other evidence concerns differences in the accuracy of GDP forecasts made during expansions and those made during contractions. It has also been hypothesized that a wishful bias may hamper the ability ...
Added: November 28, 2014
Smirnov S. V., Kondrashov N. V., / Высшая школа экономики. Series EC "Economics". 2017. No. 169.
Regional statistics published by the Russian Federal State Statistics Service (Rosstat) are reviewed in terms of quality, and radical disagreement between “month-on-month” and “year-on-year” monthly statistics is identified. In view of this, an original method is proposed for estimating the level of Regional Economic Activity (REA), based on monthly official regional statistics in five key ...
Added: August 9, 2017
Smirnov S. V., / Высшая школа экономики. Series WP2 "Количественный анализ в экономике". 2011. No. 03.
The cyclical indicators approach has been used for decades but the last recession has once more rekindled an interest for them throughout the world. Several new techniques and indicators were introduced in recent years but the actual quality of these ‘newcomers‘ was not well established. During the last recession, performance of such ‘veterans’ as indexes ...
Added: December 26, 2012
Matveeva T. Y., Sapunkova N. A., Журнал институциональных исследований 2011 Т. 3 № 4 С. 34-47
The paper represents the review of contemporary approaches to the analysis of financial market imperfections and financial crises and their impact on fluctuations of the key macroeconomic variables during the business cycle as well as the transmission mechanism of financial shocks on the real economy in the framework of New Keynesian dynamic stochastic general equilibrium ...
Added: November 17, 2012
Mariya T., Финансы и бизнес 2021 Т. 17 № 1 С. 52-76
Nowadays there are few researches which investigate the pricing methods for structured products which depend on several underlying assets and no researches devoted to this topic in the case of Russian market. The aim of this article is to estimate fair value of first-to-default structured notes based on Russian issuers CDS and to conclude is ...
Added: October 20, 2020
Lokshin M., Gimpelson V. E., Oshchepkov A. Y., / Institute for the Study of Labor. Series IZA DP "Discussion Paper". 2012. No. 6422.
Contrary to the experiences of other countries, perceptions of job insecurity in Russia were not correlated with the rates of unemployment and the business cycle over the last decade. We develop the theoretical framework that predicts that the individual perceptions of job insecurity depend on regional unemployment rates and on the within-group variance of wage ...
Added: December 13, 2012
Kitrar L. A., Lipkind T. M., Вопросы статистики 2021 Т. 28 № 2 С. 24-41
The article proposes a new set of composite indicators-predictors in business tendency surveys, which allow identifying early information signals of a cyclical nature in the economic behavior of business agents. The main criterion for the efficiency of such indicators is their sensitivity to a cyclical pattern and changes in the dynamics of statistical referents. Property ...
Added: May 11, 2021
Pestova A., / Высшая школа экономики. Series EC "Economics". 2014.
The main objective of this paper is to develop leading indicators of business cycle turning points for OECD countries and Russia, in order to reveal common factors of their macroeconomic processes over a long period of time. To predict cycle turning points, leading indicator models with a discrete dependent variable reflecting a business cycle phase ...
Added: February 20, 2014
Levando D. V., Sakharov M., / Social Science Research Network. Series SSRN Working Paper Series "SSRN Working Paper Series". 2019.
We are constructing an imperfect competition general equilibrium model, with non-consumable money and labor market; our toolkit is an equilibrium default model of Shubik-Wilson (1978). Our result has an ‘equilibrium volatility’ simultaneously occurring at all three markets: labor, goods, and credit market, with a fixed money supply from a bank.
A worker and an entrepreneur strategically ...
Added: January 18, 2019
Smirnov S. V., Экономический журнал Высшей школы экономики 2010 Т. 14 № 2 С. 185-201
The article demonstrates that cyclical fluctuation of industrial outputs (consumer products, equipments, materials and supplies) have important, specific features in Russian and US's economies. The result allows to better understand the formation of business cycles of national economies within their structural peculiarity. Based on statistical analysis of physical industrial output (for Russia relevant indexes were ...
Added: October 13, 2012
Ozhegov E. M., / Высшая школа экономики. Series FE "Financial Economics". 2014. No. WP BRP 31/FE/2014.
This paper analyzes the mortgage borrowing process from a Russian state-owned provider of residential housing mortgages concentrating on the choice of having government insurance. This analysis takes into account the underwriting process and the choice of loan limit by the bank, the choice of contract terms and the performance of all loans issued from 2008 ...
Added: June 17, 2014
Sapunkova N. A., Экономические науки 2010 № 68 С. 29-35
В статье представлена динамическая стохастическая модель общего равновесия (DSGE), учитывающая несовершенства на финансовых рынках, неполный эффект переноса валютного курса на внутренние цены, экспортоориентированность экономики и наличие Резервного фонда и Фонда национального благосостояния. Модель может быть использована для анализа и определения путей повышения эффективности трансмиссионного механизма монетарной политики в России.
Мировой экономической кризис поставил ряд вопросов перед ...
Added: October 14, 2012
Karminsky A. M., Kostrov A., Murzenkov T., Финансовая аналитика: проблемы и решения 2012 № 41(131) С. 2-13
В соответствии с Базельскими соглашениями одной из перспективных задач риск-менеджмента является совершенствование моделей вероятности дефолта. Авторы исследуют влияние на вероятность дефолта российских банков финансовых факторов, уделяя особое внимание расширению горизонта исследования и нелинейностям по объясняющим переменным. Проведен анализ адекватности модели. Отмечено, что учет нелинейностей по относительным финансовым переменным существенно улучшает качество модели. Выделены объясняющие переменные, ...
Added: December 7, 2012
Doz C., Petronevich A., / . Series " ". 2014.
The purpose of this paper is to develop a tool that would permit to identify the turning points of the business cycle of the French economy in a more timely and transparent manner than the existing institutions, such as OECD, do. We use the basic two-regime Markov Switch- ing Dynamic Factor Model and estimate it ...
Added: October 20, 2014
Smirnov S. V., / Высшая школа экономики. Series EC "Economics". 2011. No. 02.
Contemporary global economic life is measured in days and hours, but most common economic indicators have inevitable lags of months and sometimes quarters (GDP). Moreover, the real-time picture of economic dynamics may differ in some sense from the same picture in its historical perspective, because all fluctuations receive their proper weights only in the context ...
Added: August 28, 2012