Международная валютная система: возможный путь ее преобразования
The article represents the results of the monitoring Russia's compliance with commitments, made at the G8 Aquila summit in 2009. The monitoring was made by International organizations Research Institute of the State University - Higher School of Economics (HSE IORI) with G8 Research Group of the University of Toronto. The full version of the G8 Aquila Summit Compliance Report is available at the web site of HSE IORI www.iori.hse.ru and at the web site of the Research Center for International Cooperation and Development www.rcicd.org . The article provides comparative analysis of the measures undertaken by the Russian Federation during compliance period in 5 major spheres of collective actions. It also provides recommendations on how to raise the compliance level and improve the efficiency of accountability on commitments made.
Carry trades consistently generate high excess returns with high Sharp ratios, but are subject to crash risk. I take a closer look at the link between the carry trade returns and the stock market to understand the risks involved and to determine when and why currency crashes happen. Every period, I sort currencies of developed and emerging economies by their interest rates and form portfolios to diversify the idiosyncratic risk. First, I find a strong negative relationship between portfolio returns and skewness of exchange rate changes. In fact, skewness and coskewness with the stock market have a much greater explanatory power in the cross-section of excess returns than consumption and stock market betas. But separating the market beta into upside and downside betas improves the validity of the CAPM significantly. Downside beta has a much greater explanatory power than upside beta, and it correlates with coskewness almost perfectly. This means that carry trades crash exactly in the worst states of the world, when the stock market goes down. After controlling for country risk, the downside beta premium in the currency market is comparable to that in the stock market and equals 2-4 percentage points p.a. I also find that country risk proxies well for the downside beta and skewness. This suggests that there is unwinding of carry trades and a “flight to quality” when the stock market plunges, and that lower interest rate currencies serve as a “safe haven”. Finally, I estimate even higher downside betas of the top portfolios and I find an even greater explanatory power of the downside beta in the early 2000s. The growing volume of carry activities might have contributed to the closer link between the currency and the stock markets.
Some currencies persistently move together with the stock market and crash in periods of market downturns or high volatility, while others serve as a “safe haven”. In this paper, I study whether or not countries’ macroeconomic characteristics are systematically related to the market risk of their currencies. I find that the market risk is not random, especially on the downside, and it can be predicted by macroeconomic variables. Moreover, the market risk has increased significantly since the 2000s, and its predictability also increased. The real interest rate has the highest explanatory power in accounting for the cross-section of currency market risk. Currencies of countries with high local real interest rates have high market betas, especially downside betas, while low real interest rate currencies are immune to stock market changes. Nominal interest rates also have some explanatory power, but only to the extent to which they correlate with the real interest rates. Other variables considered seem to be irrelevant.
G20-B20 Dialogue should be instrumental in enhancing G20 efficiency by both responding to the business interests and concerns and engaging private sector in generating growth and jobs. B20 (G20 Business Summit) was first initiated by the Canadian Council of Chief Executives (CCCE) on the eve of the Toronto summit in June 2010. To date five B20 meetings, including the one in Toronto, have been organized each putting forward recommendations for G20 leaders: in Seoul in November 2010, in Cannes in November 2011, in Los Cabos in June 2012 and in St Petersburg in 2013.
Investment made into the dialogue by both business and governments warrants an independent unbiased and rigorous analysis of what has been achieved and what lessons should be learnt. This chapter reviews progress of G20-B20 engagement to identify achievement and challenges.
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.