Применение методов векторной авторегрессии для исследования влияния малого розничного предпринимательства на динамику торговли
In this paper the influence of branch tendencies of development of small retail business on dynamics of one of the leading quantitative indices of economic development of Russia - the index of physical volume (IPV) of the retail trade turnover is investigated.
The response of the macro aggregate to the artificial shocks entered into dynamics of the not quantitative composite indicators (CI) characterizing business tendencies of small trade business is simulated. For carrying out such analysis there was involved, based on modern VAR approaches, the impulse response function constructed on the VECM model.
The numerical optimization method for calculating regulators has been used more frequently. The toolkit of the method includes various regulator structures, including pseudolocal loops regulators, regulators with a reference model, or with a Smith's predictor, with a bypass channel, regulators using the open model, etc. The arsenal of cost functions for optimization is also quite diverse. It includes the integral of the error module or the squared error and often this value is recommended to be multiplied by the time from the moment of the transient process. In addition, recommendations that use the compound aim functions are known. In this case, it is recommended to use an error growth detector (an overshoot detector) including a reverse overshoot and some other terms that increase the cost function, which allows adjusting the optimization result in the desired direction. It seems that this arsenal of funds is sufficient for any case encountered in practice. This paper investigates the possibility of solving the control problem for an oscillatory unstable object using all known methods for solving ones. It is shown that for some object models it is extremely difficult to obtain a satisfactory solution, and the set of known methods based on numerical optimization is insufficient. In this case, an object of the third order, containing negative coefficients in the polynomials of the numerator and denominator were chosen. The possibilities of using a PID-regulator, a bypass channel, or the open model of the object are investigated. The best solution among the robust ones is still characterized by a reverse overshoot of 70 %, which demonstrates the complexity of the solved problem and the inadequacy of the known tools in the form of regulator structures set and techniques for formation of a aim function. The method of additional control of the complex system obtained by using an external I-regulator is proposed. The efficiency of this method is shown with regard to the method of numerical optimization of the this regulator coefficients is not operational, and the factor for an external integrator is easily found empirically.
This article deals with the influence of different factors on the RTSI in the period from March 2007 to August 2009. The period is further subdivided into three subperiods − pre-crisis, high oil prices and time of crisis ones. The stationarity testing, the Granger causality analysis, the analysis of cointegration, the impulse response functions and the variance decomposition let us get the information on the degree of oil price impact, the S&P-500 and FTSE-100 stock indices one and the «investors' fear gauge» index VIX influence on the RTSI. The time series cointegration analysis demonstrates the presence of the cointegration relations. The results of the research can be applied in making scenario forecasts based on the middle-run and long-run oil prices.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.