Трунин П. В., Дробышевский С. М., Евдокимова Т. В. М.: Издательский дом «Дело» РАНХиГС, 2012.
Added: Mar 26, 2013
Алексашенко С. В., Петроневич М. В. Экономическая политика. 2011. № 3. С. 81-92.
Added: Oct 10, 2012
Хасянова С. Ю., Потапов Д. В. В кн.: Современные проблемы в области экономики, менеджмента, бизнес-информатики, юриспруденции и социально- гуманитарных наук. Материалы IV научно- практической конференции студентов и преподавателей НФ ГУ-ВШЭ. Н. Новгород: Нижегородский государственный технический университет им. Р.Е. Алексеева, 2006. С. 57-60.
Added: Dec 16, 2012
Могилат А. Н., Ачкасов Ю. К., Климовец А. В. и др. Вопросы экономики. 2016. № 5.
Added: May 14, 2016
Zamulin O. A., Sosunov K. A. Научные труды ЦЭФИР и РЭШ. WP101-1. ЦЭФИР и РЭШ, 2007. No. 101.
The paper studies monetary policy in an economy, in which the manufacturing sector is ousted completely by the presence of a large natural resource industry. Thus, the economy produces only non-tradable goods, which can complement or substitute imported goods, and the primary shock to the economy comes from the ”uctuations in the world price of the exported commodity. A model of such an economy is calibrated using parameters relevant for Russia, which is an example of an economy sick with Dutch Disease, and several conventional policy rules are considered. It is shown that in absence of a well-functioning “scal stabilization fund, it may be optimal for monetary authorities to respond to the real exchange rate, as the Bank of Russia allegedly does, using purchases of foreign reserves as the policy instrument. The logic of these actions is to replace the absent “scal stabilization policy. In case monetary policy is conducted using an interest rate instrument, there should be no reaction to the real exchange rate and only slight one - to intiation.
Added: Apr 22, 2013
Влияние асимметричной жесткости цен на денежно-кредитную политику в открытой экономике и эмпирический анализ для ряда стран
Dobrynskaya V. V. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2008. No. 02.
We build a New Keynesian model of a small open economy and analyze the optimal monetary policy assuming symmetric and asymmetric price rigidity. We find that, in the presence of asymmetric price rigidity, inflationary and deflationary shocks should be treated asymmetrically, and the optimal direction of the asymmetry depends on the price rigidity and the social preferences. In particular, if prices are sufficiently flexible and/or the output gap is not very important (e.g. strict inflation targeting), then inflationary shocks should be contracted more severely than deflationary ones of the same size should be accommodated. But in the opposite case the optimal asymmetry is reversed. We test the predictions of our model for a set of developed countries, concentrating on the exchange rate policy. We find that the exchange rate plays a significant role in the monetary policy in most countries, and we find some evidence of the asymmetry which is in line with inflation targeting according to our model.
Added: Mar 18, 2013
Трунин П. В., Дробышевский С. М., Синельникова-Мурылева Е. В. и др. М.: Институт Гайдара, 2010.
Added: Mar 26, 2013
Трунин П. В., Князев Д. А., Сатдаров А. М. М.: Институт Гайдара, 2010.
Added: Mar 26, 2013
Идентификация режимов динамики валютного курса доллар–евро: подход на основе реконструкции нелинейных динамических систем
Камротов М. В. Вопросы экономики. 2010. № 12. С. 82-98.
Added: Sep 30, 2012
Борзых (Зюзина) О. А. Количественный анализ в экономике. WP2. Высшая школа экономики, 2016. № WP2/2016/02.
The aim of this paper is to reveal the main features of the bank lending channel in the Russian economy. Having the answer to this question is important for increasing the efficiency of monetary policy because it will allow to evaluate the extent to which monetary policy impulses affect bank loans that are one of the main source of investments in Russia. The methodology is based on [Kashyap, Stein, 2000]. We analyze monthly data on the individual Russian banks’ balance sheets over the period 2010-2014. In order to take into account considerable differences between different groups of the Russian banks we divide our sample into groups according to their ownership structure, value of net assets, and their main activities. We also address a heterogeneity in the period of time we study. It is shown that there exists a relationship between liquidity level of the Russian banks’ balance sheets, their lending policy and monetary policy impulses depending on the banks’ characteristics and the period of time. We find liquidity “anti-effect” for the big Russian banks during the structural liquidity deficit period: the more liquid their balance sheets, the more these banks substitute corporate loans with liquid assets purchases under conditions of contractionary monetary policy regime. For some groups of medium and small banks that prefer to maintain the volume of corporate loans by selling liquid assets we justify the “classical” Kashyap and Stein liquidity effect. We also find some groups of medium and small banks through which bank lending channel did not work during the period of time we analyze.
Added: Nov 14, 2016
Tsomocos D., Goodhart C., Vardoulakis A. In bk.: X Международная научная конференция по проблемам развития экономики и общества: В 3 кн.. Bk. 1. M.: Higher School of Economics Publishing House, 2010.
Added: Sep 27, 2013
Экономика и управление: проблемы и перспективы развития. Сборник научных статей по итогам международной научно-практической конференции г.Волгоград 15-16 ноября 2010 г.
Ч. 1. Волгоград: Волгоградское научное издательство, 2010.
Added: Jan 18, 2013
Anisimova A. I., Muradyan P. A., Vernikov A. V. SSRN Working Paper Series. Social Science Research Network, 2011. No. 1919817.
This empirical paper adds to competition and industrial organization literature by exploring the interplay between industry structure and competitiveness on local, rather than nation-wide, markets. We use micro-level statistical data for banks in two Russian regions (Bashkortostan and Tatarstan) to estimate Herfindahl-Hirschman index, Lerner index, and Panzar-Rosse model. We estimate Panzar-Rosse model in two ways: via the widely used price-equation that accounts for scale effects and then via a revenue-equation that disregards scale effects as suggested by Bikker et al. (2009). We find both regional markets to be ruled by monopolistic competition, although estimation by revenue-equation does not reject monopoly hypothesis for Tatarstan. Existence of sizeable locally-owned and operated institutions does not necessarily lead to higher competitiveness of the given regional market, and the results from non-structural methods of estimation suggest that bank competition in Bashkortostan is stronger than in Tatarstan. Going further away from aggregated analysis we compute Lerner indices in two product segments of Tatarstan – retail and corporate loans – and find that retail segment is significantly more competitive. Local banks exert more market power in corporate loans, while federal branches – in retail loans.
Added: May 14, 2012
Added: Feb 22, 2013
Яковлев А. А. Общественные науки и современность. 2008. № 4. С. 21-37.
Added: Sep 22, 2012
Penikas H. I. Financial Economics. FE. Высшая школа экономики, 2012. No. 03.
The Basel Committee of Banking Supervision initiated a discussion on the most efficient practices to prevent bank managers from excessive risk-taking. This paper proposes a game-theoretical approach, describing the decision-making process by a bank manager who chooses his own level of risk and effort. If the level of risk implies the variability of the future outcome, the amount of effort applied affects the probability of a positive outcome. Although effort is unobserved for the bank’s stakeholders, the risk level is under control, and is associated with certain indicators such as capital adequacy ratio or leverage level. The risk-neutral utility function of a bank manager and a binary game outcome of gaining profit or loss for a bank are assumed. Starting from the general incentive contract scheme having the fixed and variable parts of remuneration, it is proposed that differentiating the variable part of remuneration is sufficient to motivate bank managers to make fewer risky decisions. More precisely, the variable part of remuneration (e.g. the share of the bank’s profit) needs to be higher in proportion to the higher variance of outcome for the high -risk outcome case to stimulate a bank manager to opt for lower-risk decisions in place of higher-risk situations.
Added: May 3, 2012
Уринсон Я. М. Вестник Европы. 2014. № 38-39.
Added: Feb 5, 2018
Penikas H. I., Titova Y. Financial Economics. FE. Высшая школа экономики, 2012. No. 02.
In this paper we elaborate a simple model that allows for the predicting of possible reactions from financial institutions to more stringent regulatory measures introduced by the Basel Committee on Banking Supervision (BCBS) in regard to global systemically important banks (G-SIBs). The context is framed by a 2011 BCBS document that proposes higher capital requirements for global systemically important banks. We attempt to analyze bank interactions in an oligopolistic market that is subject to demand constraints on loan amounts and additional loss absorbency requirements introduced by the regulator. We distinguish between the bank’s announced funding cost that determines both the loan amount issued and the market interest rate, and the bank’s true funding cost that has a direct impact on retained earnings. We conclude that in a two-stage game both banks will announce the highest funding cost, thus reducing the amount of loans granted (in line with the regulator’s objective), but at the expense of a higher cost of borrowing established in the market. If the game is repeated, then both banks also choose lower loan amounts in the periods prior to the last one in which the declared funding cost is the lowest possible. It should be noted that the designated outcome also coincides with the findings of the Monetary Economic Department of the Basel Committee on Banking Supervision.
Added: May 3, 2012
Added: Jun 24, 2011