Оценка зависимости спрэда доходности корпоративных облигаций от динамики валютного курса (на примере рынка облигаций РФ)
In this paper we analyze what are the channels of exchange rate dynamics effect on corporate bond yield spread. Under the uncovered interest rate parity (UIP) exchange rate level and interest rates are linked so that the yields in two countries are equal. There is an evidence in literature that exchange rate volatility also plays an important role in economic output, but our investigation argue that it is also a key factor in interest rate analysis. Scenario, graphic and regression analysis shows that exchange rate level influence the risk-free yield (government bond yield) while the volatility of exchange rate affect risky corporate bond yield. So that exchange rate volatility has a positive effect on corporate bond yield spread and the hypothesis is that this effect is realized via default risk inflation. One of the most efficient credit risk models are reduced-form models, in particular the Duffie-Singleton model . When calibrating to real market data and incorporating exchange rate volatility in the model it argues that the greater the volatility of exchange rate, the greater the risk of default. The contribution of our paper to the literature is that it states the dual nature of exchange rate dynamics impact on corporate bond yield spread via the level and volatility, the latter affecting through the rising default risk.
The problem of optimal monetary policy is extremely relevant for Russia. Although the monetary authority claims that inflation targeting is the main goal of the monetary policy, empirical finding suggest that the real exchange rate targeting is of major importance (see Vdovichenko / Voronina 2004). Due to the rising flow of petrodollars, the rouble is currently experiencing a significant real appreciation. The fear to harm exports causes the monetary authority to respond by accumulating dollar reserves and increasing the money supply, thus preventing a nominal appreciation. Such policy leads to high inflation which benefits of some groups at the expense of others. That is why the optimal degree of intervention is in the centre of the current political and economic debate.
Using a panel data set of 180 countries spanning from 1971 to 2000, we find evidence that exchange rate policy affects macroeconomic performance for the sample of non-industrialized countries. We consider two measures of economic performance: i) per capita GDP growth and ii) the volatility of per capita GDP growth and investigate the nature of their dependence on de facto/de jure mix of exchange rate policies. Our characterization of exchange rate policy measures whether a country's de facto policy is consistent with its publicly stated de jure exchange rate regime. Employing the Rogoff and Reinhart (2002) de facto classification we find the significant statistical relationship between exchange rate policy and growth which is robust to the inclusion of conventional growth control variables. Our nuanced characterization shows that the non-industrialized countries exhibiting `fear of floating,' have higher GDP growth. With respect to GDP volatility a division of policy into fixed versus floating exchange rates using the de facto/de jure metrics is significant and indicates that `fear of floating' is stabilizing for the non-industrialized but destabilizing for industrialized countries.
The estimation of the default risk is an important point for an insurance company. There are a number of mechanisms used in insurance which influences the default risk. One of them is reinsurance, where part of risk is taken on charge by the reinsurance company. We consider excess-of-loss reinsurance, which means that each insurance contract is reinsured individually. The main goal of this paper is to analyze the dependency of the default risk from the chosen retention limit. As a main result we discover the new phenomena of a possible jump of the reliability function, which has an important practical influence on the default risk estimation.
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.