The Reinvestment Risk Premium in the Valuation of British and Russian Government Bonds
This article studies the dynamic properties of the reinvestment risk premium in the UK and RF government bond markets. In a new interest rate environment when sovereign debt trades at a low and even negative yields and bond funds are struggling to earn sufficient returns, bond investors have become increasingly wary of reinvestment risk largely neglected previously. The reinvestment risk premium is quantified on the basis of replicating portfolios and further analyzed with respect to exposure to exogenous influence with the help of cointegration techniques. The findings are that in both markets investors recognize the significance of reinvestment risk. However, there are differences in the sensitivity of the reinvestment risk premium to exogenous indicators. In the UK government bond market investors tend to be guided by more conservative indicators but are ready to forecast in the medium-run; in the RF government bond market investors tend to be guided by less conservative indicators but are ready to forecast only in the short-run.
Consumption behavior of Russian households as macroeconomic agent is changing and converging with behavior of populations of developed countries. This agent finances the purchase of goods and services by current income, savings and loan. Repayments of loans, which are generally used to acquire durable goods and services, are distended in time. Consequently, there are factors including loan conditions that influence the formation of households' organized savings. The main idea of this paper is to model savings depending from loans apart from classical macroeconomic research papers in which total income is the most important factor which affects savings. Available statistical data was structured and transformed into necessary format. Three models of Russian households' consumption behavior were constructed for 2004-2014 years. In this work the following methods were used: Engle-Granger methodology for error correction model (ECM), Johansson’s procedure for vector error correction model (VECM), fixed point method for estimation of structural system of equations for savings and loans. Models include the following exogenous and endogenous variables: expenditures, savings, received loans, monetary income, CPI, lending / deposit interest rates. The results demonstrate the existence of positive short-run and negative long-run interconnection between households’ savings and loans; these results are in accordance with real data. Models obtained in this paper can be used in short-run forecasting of Russian households’ savings. They might be also useful while accessing the effect of loan conditions on saving behavior of households.
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.