Ponomarenko A. A., Татаринцев С. А., Journal of Economic Asymmetries 2023 Vol. 27 Article e00284
We set up an early warning system for financial crises based on the Random Forrest approach. We use a novel set of predictors that comprises financial development indicators in addition to conventional imbalances measures. The evaluation of the model is conducted using a three-step procedure (i.e. training, validation and testing sub-samples). The results indicate that ...
Added: March 28, 2023
Deryugina E., Maria Guseva, Alexey Ponomarenko, Journal of Central Banking Theory and Practice 2022 Vol. 11 No. 1 P. 87–104
We conduct a Monte Carlo experiment using an ad-hoc New Keynesian model and a tractable agent-based model to generate artificial credit cycle episodes. We show that fluctuations in the implicit measures of the natural rate of interest obtained using a conventional trivariate Kalman filter on these artificial datasets occur in the vicinity of credit cycle ...
Added: January 31, 2023
Deryugina E., Maria Guseva, Alexey Ponomarenko, , in: Risk Assessment and Financial Regulation in Emerging Markets' Banking: Trends and Prospects.: Springer, 2021. P. 277–286.
We analyse the ability of credit gap measures to predict banking crises by estimating the usefulness measure conditionally on policymaker's preferences. The results show that the signals based on the credit gap indicators are most useful when the policymaker’s preferences regarding Type I and Type II errors are approximately equal. However, according to the current ...
Added: January 31, 2023
Grishunin S., Dyachkova N., Karminsky A. M., , in: Risk Assessment and Financial Regulation in Emerging Markets' Banking: Trends and Prospects.: Springer, 2021. Ch. 4 P. 93–119.
This paper examines the issues of the aggregation and comparison of the credit ratings of various economic agents for risk management purposes in a commercial bank. The empirical results of the study make it possible to increase the assessment of credit risks based on the constructed system of aggregating credit ratings for industrial companies and ...
Added: October 30, 2021
Podrugina A., Экономическая политика 2021 Т. 16 № 4 С. 8–41
Protracted credit crunch after the 2008–2009 crisis is considered as one of the most significant determinants of a sluggish rise in advanced economies. The credit cycle represents a key element of the business cycle, determining capital accumulation fluctuations. The article analyzes recovery trends of credit activity in the EU, and identifies two groups of countries: ...
Added: September 6, 2021
Akhmetov R., Mamonov M. E., Pankova V., Вопросы экономики 2021 № 6 С. 5–31
This review examines the impact of the global financial cycle on small open economies and compares the effectiveness of various monetary and macroprudential policies in the presence of global financial cycle. First, we provide a classification of the channels through which the monetary policy of the world financial regulators (US Federal Reserve, ECB), which largely ...
Added: July 9, 2021
Mishin A., Canzoneri M., Diba B. et al., / Series Fed Working Paper "Finance and Economics Discussion Series". 2020. No. 2020-056.
We build a quantitatively relevant macroeconomic model with endogenous risk-taking. In our model, deposit insurance and limited liability can lead banks to make risky loans that are socially inefficient. This excessive risk-taking can be triggered by aggregate or sectoral shocks that reduce the return on safer loans. Excessive risk-taking can be avoided by raising bank ...
Added: February 8, 2021
Podrugina A., Tabakh A. V., Экономический журнал Высшей школы экономики 2020 Т. 24 № 4 С. 598–621
The article analyzes the behavior of the credit cycle in the period after the global financial crisis, as well as the consequences of changes in the «inter-crisis» period of 2010–2019 for the future credit cycle after new economic recession in 2020 caused by COVID-19 pandemic. The «credit crunch» phase, defined as a period of reduced ...
Added: December 27, 2020
Akopov A. S., Khachatryan N., Belousov F., Advances in Systems Science and Applications 2020 Vol. 20 No. 2 P. 44–55
Abstract: This article is devoted to econometric analysis of the results of experiments conducted with two
agent-based models, which describe the movement of ground vehicles. There are two types of road users in
these models: manned ground vehicles (MGV) and unmanned ground vehicles (UGV). In the first model, the
main difference between UGV and MGV is an ability ...
Added: June 30, 2020
Karminsky A. M., Dyachkova N., M.: IEEE, 2019.
In our research, we examine what macroeconomic factors determine and influence the credit cycle. In addition, our study contains four sections with theoretical and empirical parts, in which we describe how to measure credit cycles for developed and developing countries, and then introduce an important measure of the credit gap. Our results show a comparative analysis of credit ...
Added: October 29, 2019
Khasyanova S. Y., Вестник Московского университета. Серия 6: Экономика 2018 № 6 С. 98–117
Recently, the concept (концепция) of the countercyclical regulation in the financial sector has become key for the implementation of macroprudential policies in many countries, while a countercyclical capital buffer of banks is becoming a primary tool of regulation. The purpose of this research is to study the appropriateness and specifics of the countercyclical capital buffer ...
Added: December 18, 2018
Zamyatina E., Karimov D., Mittrakov A., International Journal "Information Models and Analyses" 2015 Vol. 4 No. 2 P. 178–191
Abstract: This paper discusses the problems of the agent-based simulation system design. It is well known that agent models extend the capabilities of simulation for solving some problems that can’t be solved by the methods of system dynamics and discrete event simulation. Particular attention in the design and the implementation of agent-based simulation authors pay ...
Added: March 16, 2016
Kertesz-Farkas A., Bihary D., Kerenyi A. et al., Scalable Computing: Practice and Experience 2012 Vol. 13 No. 1
Members of bacterial communities communicate and cooperate via diffusible chemical materials they emit into the environment, and at the same time, they also compete for nutrients and space. Agent-based models (ABMs) are useful tools for simulating the growth of communities containing multiple interacting microbial species. In this work we present numerical indices characterizing spatial distribution ...
Added: October 29, 2015
Zamyatina E., Каримов Д. Ф., Митраков А. А., Информатизация и связь 2014 № 2 С. 89–97
This paper discusses the problems of the agent-based simulation system design. It is wellknown that agent models extend the capabilities of simulation for solving some problems that can’t be solved by the methods of system dynamics and discrete event simulation. Particular attention in the design and the implementation of agent-based simulation authors pay to the ...
Added: February 20, 2015
Egorova L., , in: Procedia Computer Science. 2nd International Conference on Information Technology and Quantitative Management, ITQM 2014. National Research University Higher School of Economics (HSE) in Moscow (Russia) on June 3-5, 2014Vol. 31.: Amsterdam: Elsevier, 2014. P. 133–142.
We introduce simulation models of stock exchange to explore which traders are successful and how their strategies influence to their wealth and probability of bankruptcy. The results of our experiments show that there is a critical level of agent’s experience (or luck) such that agents with this or higher level almost sure will survive on ...
Added: June 12, 2014
Kondratyev M., Компьютерные исследования и моделирование 2013 Т. 5 № 5 С. 863–882
The number of papers addressing the forecasting of the infectious disease morbidity is rapidly growing due to accumulation of available statistical data. This article surveys the major approaches for the short-term and the long-term morbidity forecasting. Their limitations and the practical application possibilities are pointed out. The paper presents the conventional time series analysis methods ...
Added: January 13, 2014