Вероятностная модель прогнозирования характеристик денежного потока
In the book deals with modern methods and models of socio-economic forecasting, the most frequently used in practice. Essential part of economic decisions aimed at obtaining results in the future, so to make the right management decisions need to be reliable socio-economic forecasting, which is impossible without knowledge of methods and models. In connection with this prerequisite training of highly economist and manager is to study their discipline "methods of social and economic forecasting." The second volume contains the basic textbook methods and models used today in the socio-economic forecasting. Consistently provides methods and models short, medium and long-term forecasting how simple models of trends and using factor models. In some groups are identified and methods of forecasting models of evolutionary processes of socio-economic dynamics. The textbook is designed for students of undergraduate academic, but may be useful to undergraduates, postgraduates and doctoral students, as well as practitioners dealing with the forecasting of socio-economic processes.
The possibility of dynamic analysis and forecasting production results using the power production functions of complex variables with real coefficients is considered. This model expands the arsenal of instrumental methods and allows multivariate production forecasts which are unattainable by other methods of real variables as the functions of complex variables simulate the production differently in comparison with the models of real variables. The values of coefficients of the power production functions of complex variables can be calculated for each statistical observation. This allows to consider the change of the coefficients over time, to analyze this trend and predict the values of the coefficients for a given term, thereby to predict the form of the production function, which forecasts the operating results. Thus, the model of the production function with variable coefficients is introduced into the scientific circulation. With this model, the inverse problem of forecasting might be solved, such as the determination of the necessary quantities of labor and capital to achieve the desired operational results. The study is based on the principles of the modern methodology of complex-valued economy, one of its sections is the complex-valued patterns of production functions. In the article, the possibility of economic forecasting is tested on the example of the UK economy. The results of this prediction are compared with the forecasts obtained by other methods, which have led to the conclusion about the effectiveness of the proposed approach and the method of forecasting at the macro levels of production systems. A complex-valued power model of the production function is recommended for the multivariate prediction of sustainable production systems — the global economy, the economies of individual countries, major industries and regions.
After analyzing the characteristics and pricing models on the Russian wholesale electricity market, some important features for econometric modeling are introduced. This paper suggests econometric forecasting models developed to predict daily and hourly electricity prices on the day-ahead market for two price zones in Russia: European and Siberian ones. A set of 24 models, which are similar in nature but different in included regressors, are introduced. On the basis of the actual database for 2014, different modifications of price formation are offered and analyzed with the help of the Eviews econometric package. Dynamic forecasts on various distances (day, week, and month) are conducted and the most suitable models from the point of minimizing the norms of the vectors residuals are chosen. Constructed ARMA models have high predictive power and are able to reflect the price trend on the base of exogenous factors and the previous price values.
This article presents a forecast of the main balance sheet accounts for private pension funds: retirement savings, pension reserves, owned capital. The forecast is based on the funds inflow trends for obligatory pension insurance and nongovernmental pension benefits. We have found that the PPFs’ balance sheet will grow rapidly (in terms of GDP) in the coming decades and it can reach 10-30% of GDP in 2050 depending on circumstances. The obligatory pension insurance almost displaces nongovernmental pension benefits. In the short term horizon PPFs can meet serious problems associated with quick growth. In particular there may be problems with the capital adequacy and placing funds in assets with low risk and return (bank deposits)
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.