Модели внутридневной динамики ликвидности акций индекса голубых фишек Московской биржи
The monograph contains the results of a study of the theoretical and methodological issues of managing the liquidity of a firm. The essence of this category is determined, the types of liquidity and their financial consequences for the company are identified; various groups of methods for measuring liquidity of a company are summarized and systematized, allowing to give a comprehensive assessment of this financial characteristic, factors shaping it, ways to maintain liquidity and potential threats to reduce it. The fundamentals of liquidity management in the organization’s financial management system are investigated, providing for the need to implement the principles of interconnection and balance of strategic and short-term financial goals, risk and profitability of a company based on a two-tier liquidity management system. A system of methods, models and tools for managing liquidity is presented within the framework of the formation of the company's working capital management policy and the management of its components - stocks, receivables and payables, and cash, which determine the level of liquidity of the company. The features and priorities of managing the liquidity of transport companies are highlighted, which are based on an analysis of the specifics of their activities, capital formation, structure of current assets and sources of its financing.
This article presents an engineering approach to estimating market resiliency based on analysis of the dynamics of a liquidity index. The method provides formal criteria for defining a “liquidity shock” on the market and can be used to obtain resiliency-related statistics for further research and estimation of this liquidity aspect. The developed algorithm uses the results of a spline approximation for observational data and allows a theoretical interpretation of the results. The method was applied to real data resulting in estimation of market resiliency for the given period.
The purpose of this article is to present an approach to systemic liquidity management of the company. In order to achieve this purpose, a systematic literature review was conducted in the field of methods and indicators of the company's liquidity assessment, financial consequences of poor liquidity management, and sources of liquidity risk. The authors presented patterns of liquidity management that reflect the requirements of the relationship between strategic and current financial management, the interaction of liquidity risk and profitability as the core of added value creation, as well as the tools for their implementation. The econometric toolkit was aimed at identifying threshold points in the joint dynamics of liquidity and profitability with the identification of ranges of positive and negative nature of their interaction. A possible direction for future research in this field is the use of comprehensive approach to the study of liquidity management in order to understand which combination of tactic and strategic action enables liquidity management to be expedient for the company.
The paper describes the new version of the model of the Russian banking system, which successfully reproduces a wide set of parameters characterizing its performance: loans and deposits of firms and households, liquidity nominated both in rubles and in foreign currency, mandatory reserves. We describe the technique of derivation of model relations, which includes the statement of the problem of macroeconomic agent “bank”. This problem is based on the maximization of discounted flow of profit subject to budget constraint, balance of loans and deposits, liquidity constraints and reserve sufficiency requirements. The paper contains the system of equations which describes the solution of the problem. We provide a detailed description of transition of continuous to discrete time and the new approach to the relaxation of complementary slackness conditions based on the assumption that the model exhibits a turnpike property.
Apart from the standard approach to the parameter estimation for this class of models, we apply a method of multi-step forecasting. We show that the standard method of estimations allows to closely reproduce the historic series but leads to the poor quality of forecasts. The method of multi-step forecasting, on the other hand, successfully reproduces historic series and also leads to rather accurate forecasts. We compared it with standard econometric techniques and show that the model with parameters obtained via multi-step forecast method provides somewhat better forecasts than ARIXAM and much better ones than AR, ARIMA, VAR and VARX. We also show that then we use multi-step forecasting method, optimal values of parameters are about the same for different intervals of estimation and different lengths of forecasts (from one to six months). Such a stability of parameters makes us think that the model reproduces long-term relations of variables and can be used for forecasting and scenario analysis.
The model can be used for the evaluation of reaction of the banking system on the monetary policy, external constraints of different kind and the general condition of the economy. The model can be used as a block of a bigger general equilibrium model of the Russian economy.
Smoking is a problem, bringing signifi cant social and economic costs to Russiansociety. However, ratifi cation of the World health organization Framework conventionon tobacco control makes it possible to improve Russian legislation accordingto the international standards. So, I describe some measures that should be taken bythe Russian authorities in the nearest future, and I examine their effi ciency. By studyingthe international evidence I analyze the impact of the smoke-free areas, advertisementand sponsorship bans, tax increases, etc. on the prevalence of smoking, cigaretteconsumption and some other indicators. I also investigate the obstacles confrontingthe Russian authorities when they introduce new policy measures and the public attitudetowards these measures. I conclude that there is a number of easy-to-implementanti-smoking activities that need no fi nancial resources but only a political will.
One of the most important indicators of company's success is the increase of its value. The article investigates traditional methods of company's value assessment and the evidence that the application of these methods is incorrect in the new stage of economy. So it is necessary to create a new method of valuation based on the new main sources of company's success that is its intellectual capital.