Нелинейные эффекты воздействия инфляции на бюджетный дефицит и государственный долг
Экономический журнал Высшей школы экономики. 2000. Т. 4. № 3. С. 309-322.
Бессонов В. А. В кн.: Экономика переходного периода: Сборник избранных работ 1999–2002. М.: Дело, 2003. С. 597-637.
Added: Jan 27, 2013
Замулин О. А., Стырин К. А. Вопросы экономики. 2012. № 1. С. 4-20.
Added: Aug 21, 2012
Савицкая Е. В. М.: Литтерра, 2015.
Added: Nov 7, 2015
Бессонов В. А., Дробышевский С. М., Энтов Р. М. В кн.: Переходная экономика: теоретические аспекты, российские проблемы, мировой опыт. М.: Экономика, 2004. Гл. 6. С. 193-256.
Added: Jan 27, 2013
Бессонов В. А. М.: Издательский дом ГУ-ВШЭ, 1998.
Added: Jan 28, 2013
Моделирование кривой доходности на российском рынке государственного долга: макроэкономический подход
Новикова Н. П., Устюгова Ю. Б. Научные доклады лаборатории макроэкономического анализа. WP12. Высшая школа экономики, 2007. № 14.
In this paper, we address the issue of modeling the term structure of interest rates on the Russian market of government bonds and discuss a general approach to incorporating macroeconomic factors into the model of term structure of interest rates. The analysis of the existing yield curve models and specific features of the Russian market allows us to determine the general methodology we would like to explore as applied to zero-coupon rates in the OFZ market. The outcome of our empirical exercise supports the existence of significant macro factor effects on the long-run level of yields and the slope of the yield curve. The approach should serve to a better understanding of the links between the evolution of the interest rates on the Russian government bonds, the economy and changes in the macroeconomic policies in recent years. It could be used as a starting point for analysis of the monetary policy transmission mechanism in Russia and forecasting of government bond yields for the purpose of public debt management.
Added: Mar 14, 2013
Edited by: А. Астапович, Л. Л. Любимов М.: Наука, 1991.
Added: Jan 17, 2013
Монетарная политика при адаптивном обучении ожиданий в период переходной макроэкономической динамики. Сценарий: Россия 1998–2008
Шульгин А. Г., Лозгачева Е. Н., Дементьев А. В. В кн.: X Международная научная конференция по проблемам развития экономики и общества: В 3 кн.. Кн. 1. М.: Издательский дом ГУ-ВШЭ, 2010. С. 197-210.
Added: Dec 24, 2012
Российский финансовый кризис: почему девальвация рубля сопровождалась дефолтом по государственному долгу?
Shpringel V. K. Исследования по экономике и финансам. WP9. Высшая школа экономики, 2005. No. 03.
Using an original currency crisis model we show that mistakes in monetary and fiscal policy could explain the origins and roots of the Russian financial crisis of 1998. A combination of high interest rates with high sensitivity of inflation rate to the rate of currency depreciation, low duration of debt and low GDP monetization together resulted in exchange rate appreciation and rapid accumulation of domestic-currency debt. When the debt became too high to service, investors started to flee. Protective interest rate hike by the monetary authorities was counterproductive, accelerating the approach of the crisis via the growth in the debt-servicing payments and GDP contraction. The budget restriction of 3% of GDP, used in EC countries, was too loose for Russia in the pre-crisis period.
Added: Mar 18, 2013
Pekarski S. E. WP BRP 55/LNG/2017. Высшая школа экономики, 2007. No. 12.
This paper contributes to the literature on budget deficits and inflation in high inflation economies. The main finding is that recurrent outbursts of extreme inflation in these economies can be explained by a certain hysteresis effect associated with public finance. This interpretation meets the evidence that dramatic shifts between regimes of moderately high and extremely high (hyper-) inflation often occur without visible deterioration in public finance or abrupt shifts in fiscal and monetary policies. The existence of the hysteresis effect is explicitly explained by the work of two mechanisms: the arithmetic associated with the wrong side of the inflation tax Laffer curve and the Patinkin effect (the reverse of the much more-cited Olivera-Tanzi effect). It is also shown that the division of the operational budget deficit into the part that is subject to negative inflation feedback and the inflation-proof part has implications for both the discussion of inflationary consequences of budget deficits and the proper design of stabilization policy.
Added: Mar 13, 2013
Смирнов С. В. Вопросы экономики. 2010. № 1. С. 29-43.
Added: Sep 30, 2012
Рахмангулов М. Р. Вестник международных организаций: образование, наука, новая экономика. 2012. № 3. С. 109-119.
Added: Mar 22, 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
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Трунин П. В., Дробышевский С. М., Евдокимова Т. В. М.: Издательский дом «Дело» РАНХиГС, 2012.
Added: Mar 26, 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
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