А нужен ли России свободный рубль? (влияние политики свободного курса на волатильность рубля)
The problem of optimal monetary policy is extremely relevant for Russia. Although the monetary authority claims that inflation targeting is the main goal of the monetary policy, empirical finding suggest that the real exchange rate targeting is of major importance (see Vdovichenko / Voronina 2004). Due to the rising flow of petrodollars, the rouble is currently experiencing a significant real appreciation. The fear to harm exports causes the monetary authority to respond by accumulating dollar reserves and increasing the money supply, thus preventing a nominal appreciation. Such policy leads to high inflation which benefits of some groups at the expense of others. That is why the optimal degree of intervention is in the centre of the current political and economic debate.
World fi nancial crisis and increased volatility of major economic indicators raised attention to the problem of fi nancial risk management in corporations, and to the possibilities of fi nancial derivatives usage for hedging. In perfect markets hedging by means of derivatives allows corporations to mitigate fi nancial risks allowing for minimum costs. Current paper examines factors that restrict usage of derivatives for hedging currency risks by corporations on Russian fi nancial market. It is concluded that on Russian market it is reasonable to use internal facilities as basic method of currency risk management: asset/liability management, regulation of debt
currency structure, diversifi cation, etc. Derivatives should be used in addition to these facilities in very limited volumes for hedging the most predictable sources of risk.
The Chapter examines the evolution of the modern system of currency regulation in Russia. Special attention is paid to sustainability of the national currency, the causes and consequences of capital outflow, as well as measures of deoffshorization of the Russian economy.
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.
Using a panel data set of 180 countries spanning from 1971 to 2000, we find evidence that exchange rate policy affects macroeconomic performance for the sample of non-industrialized countries. We consider two measures of economic performance: i) per capita GDP growth and ii) the volatility of per capita GDP growth and investigate the nature of their dependence on de facto/de jure mix of exchange rate policies. Our characterization of exchange rate policy measures whether a country's de facto policy is consistent with its publicly stated de jure exchange rate regime. Employing the Rogoff and Reinhart (2002) de facto classification we find the significant statistical relationship between exchange rate policy and growth which is robust to the inclusion of conventional growth control variables. Our nuanced characterization shows that the non-industrialized countries exhibiting `fear of floating,' have higher GDP growth. With respect to GDP volatility a division of policy into fixed versus floating exchange rates using the de facto/de jure metrics is significant and indicates that `fear of floating' is stabilizing for the non-industrialized but destabilizing for industrialized countries.
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.