Importance Share quotations and dynamics of their fluctuation are influenced by factors, which generate the market risk due to their uncertainty. The risk is rather difficult to assess and forecast. Whereas we can see more and more information on various factors influencing indicators of the risk, cross-disciplinary nature of arising threats, and the current difficulties relating to risk assessment using the existing methods, it contributes to new researches and developing new methods. Objectives The research aims at analyzing a practical use of the volatility index of share quotation in the stock market as one of the indicators reflecting the risk of shares. The research pursues devising a method for assessing the indicator. Methods Using the methods of comparison with a reference indicator, we analyze how stock quotes change in the stock market. We apply a matrix approach involving triangle matrices, and econometric methods. Results We propose the volatility index of share prices, which may be used as one of the methods to assess the risk of securities in the stock market. We devise a method to measure the indicator. The article also analyzes specific aspects and possibilities of using the volatility index in order to assess the risk. We compare results of the risk assessment using the proposed index with similar ones resulting from the Value-at-Risk method, root-mean-square deviation, return on shares. The method was tested in analyzing shares of several companies in the US and European stock markets within 2004 to 2013. Conclusions and Relevance We conclude that it is possible to use the volatility index of share prices as a separate indicator of risk assessment and addition to assessments using the VaR method. The proposed indicator may be useful to take decisions relating to market risks, evaluation of shares quality, share-based ratings, examine the efficiency of shares in the stock market, etc.
Importance In this paper we analyse the importance of accounting for the consumption habits in the general equilibrium model of the Russian economy.
Objectives The purpose of the research is to identify the impact of the consumption habits to the dynamics of the main macroeconomic variables of general equilibrium models. Nowadays Russian authors use consumption habits of households in the dynamic stochastic general equilibrium models, however, there is still no empirical evidence of this phenomenon for the Russian economy.
Methods Consumption habits suggest that consumption level is not significant by itself, it is compared with the benchmark consumption level: the previous consumption of a particular individual or aggregate past consumption. Thus, the utility function of an individual is formed in two specifications: with the habit formation and without. On the basis of the dynamic stochastic general equilibrium model (DSGE) by F. Smets and R. Wouters we analyze the dynamics of the model in two specifications under shocks. We compare impulse response functions for the main macroeconomic variables. Then we consider the dynamics of the real consumption of nondurables of Russian households. We use statistics of the real consumption of nondurable goods in the global financial crisis of 2008-2009 and after it.
Results The analysis shows that the initial response to shocks differs significantly: the habits cause more moderate and postponed reaction in consumption and smoother response in production. The data shows delayed reaction of real expenditures to changes in the fundamentals and slow adjustment to the new equilibrium.
Discussion Thus additional "rigidity" in the model allows to simulate lagged reaction of real variables to economic shocks.
Conclusions and Relevance The analysys shows that accounting for habit formation helps to model lagged "humpshaped" response of the real expenditures to the economic shocks, which is in general consistent with the data.
Subject. Nowadays exists need of qualitative express analysis of company’s financial indexes, which could reduce time and volume of processed information and could provide increasing of volume of result data with saving of accuracy of estimates on the level of generally accepted methods. To methods used for express analysis of company’s financial performance belongs the method based on matrix balance of company. But existing variants of this method were not involved for active practical application, as this approach allows to estimate only dynamic changes of assets and liabilities. For enhancement of analytical possibilities of matrix balance is required its development, which could allow to receive effective instrument for analysis of absolute indicators of company’s financial position.
Goals/objectives The goal of research consists in development of new, effective and clear methods for evaluation of various absolute indexes of company’s financial position based on company’s matrix balance. Main objectives cover development of the matrix balance model, construction, on the basis of this model, of methods for evaluation of absolute indexes of financial performance, evaluation and analysis of capital structure of company.
Methodology. With help of matrix balance of company, method for allocation of assets and liabilities, comparative analysis, are researched and developed clear express methods for evaluation of various absolute indices of financial position of company.
Results. Based on updated model of matrix balance, in the research are developed new methods for express analysis and clear evaluation of absolute indexes on liquidity and profitability of company, working capital, net assets, evaluation and analysis of capital structure of company. Also were presented approbation results of these methods.
Conclusions/significance. Conclusion is made that the developed matrix balance of company can be used effective for clear and express analysis of company’s financial performance, analysis of financing structure of its assets. It allows to allocate problems in time to make appropriate decisions.
Importance. Experience of foreign and Russian empirical studies devoted to the corporation capital structure proves that one of the main drawbacks of the models suggested by different authors is their relatively weak explaining characteristics. Some of the authors associate this with high impact of uncertainty in the process of the company selection of funding sources. In our opinion, this is due to the fact that institutional factors able to influence the process of funding sources selection are insufficiently taken into account or neglected.
Purpose. The present research is devoted to assessment of institutional factors impact on the industry and Company leverage. Efforts will be made to develop a dynamic model for assessment of the Company leverage based on the identified relevant dynamic factors and a complex of specific determinants.
Results. The present study proves, firstly, impact of institutional determinants on the industry leverage through the example of the Russian companies. Secondly, a model is suggested, taking into account the mechanism of dynamic adaptation of Companies leverage level, assuming simultaneous consideration of both institutional and specific factors.
Sphere of application. For practical purposes, the obtained models allow not only describing the Companies behavior when making financial decisions, but also can be used for predicting of their capital structure.
In connection with the development of stock markets in Russia, the problem of determining their effectiveness is of particular relevance. One form of inefficiency stock markets are "time effects". From a theoretical point of view, they indicate inefficiency of the stock market, and allow you to extract a practical profit. Detection and verification of the existence of stability "time effects" will be presented in this paper. Concluded that the effectiveness of the stock market and profit opportunities based on "time effects".
Importance Nowadays institutions responsible for the debt management operate in the situation of high vulnerability. Attracting resources using new debt instruments, such as index-linked bonds, is one of the possible solutions.
Topic Evaluation of economic efficiency of inflation-linked bonds.
Aim The aim is to discuss the methodology developed by the UK Debt Management Office that assesses effectiveness of index-linked bonds’ issuance.
Objectives To study the peculiarities of index-linked bonds’ evaluation and their distribution. To examine the methodology, its conditions, benefits and limitations. To assess the possibility and feasibility of the model’s application for structured assessment of the bonds’ issuance efficiency.
Methodology The method is based on the concept of break-even inflation rate, which is taken as an indexation tool for an artificial bond. The difference in cash flows from the newly created bond and a “linker” is an indicator of efficiency.
Results The analysis allows researchers to evaluate the efficiency of the index-linked bond issuance, to choose the best maturity and the volume of issuance, considering different inflation forecasts.
Relevance This analysis allows both federal and municipal authorities to evaluate the efficiency of index-linked bonds, which is necessary for the fundamentally and technically advocated decision-making in regards of debt financing.
Conclusion The model is a useful tool for the index-linked bonds efficiency evaluation. Nevertheless, it is vital to apply it in the system with other methods. The model has some limitations and demands good-quality forecasts. This methodology is possible to implement, and highly-demanded in the current state of affairs.
Importance. Various self-financing indicators of company can be used as indicators of possible increase of company’s capital, company’s performance, as indicators of company’s financial performance by profitability, stability, credibility and investment attractiveness etc. At the same time, deficiency and accuracy of information by methods of evaluation and analysis of self-financing indicators making more difficult selection of used indicators, methods of theirs calculation and directions of their practical application for guaranteeing of adequate result in managerial decisions making.
Objectives. The goal of research - implementation of system analysis of different directions and evaluation methods of self-financing indicators and making of recommendations by their practical application. There are realized next objectives: analysis of functional assignment and practical use of various evaluation indicators of company’s self-financing process; analysis of developed methods for evaluation of self-financing indicators and possible variants of theirs modification; creation of new indicators for evaluation of self-financing; analysis of calculation methods of self-financing indicators.
Methods. By using of system analysis, econometric methods, coefficient analysis, dynamic analysis, comparative analysis, in this research are analysed various directions and evaluation methods of self-financing indicators.
Results. In the work are summarized theoretical points and practical features of evaluation and application of various indicators of self-financing of company, are given results of analysis of modern directions and evaluation methods, are given recommendations by their practical application for decisions making. There are given formulas for calculation of self-financing indicators, and their possible modifications. There are proposed new indicators and are given recommendations by theirs application. There are given real data by self-financing indicators of same companies with theirs analysis and comparative estimation.
Conclusions and Relevance. Analysis of self-financing indicators and their evaluation are necessary for decisions making in respect of expanding and effective use of the process of self-financing of company, by evaluation of influence of self-financing on operation results, financial performance, additional indicators, which make possible to receive more objective evaluation etc.
Importance Under current economic conditions with the need of analyzing and identification the ways of the firm sustainable development, it is necessary to develop new tools and methods of economic and finance decision making. In this regard, problems of improving the existing conceptual and methodological basis of the firm financial viability analysis are very actual. Objective Aiming at the development of existing tools and methods for the analysis of financial sustainability, the article attempts to study the content of the term, as well as the composition, purpose and content of the main elements of the proposed integrated framework for the firm financial sustainability analysis. Methods In the paper, we used the method of historical and logical generalization in the aim of the firm financial sustainability definition. Previously obtained results of using the methods of hierarchies analysis and econometrics serve as a basis to justify the need to develop the basic elements of the new methods of the analysis. Results The article concerns the necessity of the using, along with the term of bankruptcy, the definition of the firm financial sustainability in the system of the economic analysis. Disclosure of the complex nature and structure of the term can explain the rationality and ways of existing analysis tools and methods development, as well as the composition of new methodological elements of the firm financial sustainability growth justification and choosing. Conclusions and Relevance. It is concluded that it is necessary to make on the basis of the proposed general scheme the detailed testing of the updated methods of analysis of financial solvency in a variety of industry applications.
Financial crisis of 2008 clearly showed weak ability of the banking system to withstand shocks and ineffectiveness of the existing regulation mechanisms and control of financial institutions. The need for efficient public policy preventing liquidity shortages and mass bankruptcy while taking in to account regulator’s transaction costs became obvious. The aim of this study is to construct an implementation mechanism for the salvation policy promoting the reduction in moral hazard from the bank-recipient side; the reduction in regulator’s transaction costs connected with the control of financial institutions; the reduction in the quantity of "unaccounted" but systemically important institutions. We propose ex ante bail-out decision mechanism based on contract theory. The key issue here is to minimize both moral hazard effects and regulator’s monitoring costs. The problem of moral hazard is stimulated by possible government liquidity provision and monitoring of "problem zones". Efficiency is also reduced by the imperfect mechanism of choosing bail-out candidates: key criteria based on gross quantitative indicators and weakly connected with the bank’s performance and network effects.
Defining three main types of regional policy the author proves that the type characterized by dominance of paternalistic features prevails in Russia. Another type with dominance of competitive features is practiced in the EU. The improvement of tourist information center’s system in Russian region’s is connect with positive image of regions both foreign and internal tourism sphere. The number of Russian tourist information centers is small and insufficiently for modern conditions of region’s economics. It necessary to solve problem of tourist information center’s improvement on conceptual level with formulation of relevant goals and tasks.
The paper analyses the impact of foreign trade to GDP growth in Russia on the basis of cointegration analysis. The aim of the paper is to assess causal relations between exports, oil prices, terms of trade and economic growth. The literature discusses different options: a positive unidirectional relation from exports growth and terms of trade improvement to economic growth (export-led growth), opposite relation from economic growth to export growth and bidirectional causal relations between indicators, negative effects of exports are also discussing. In this paper we firstly provide a statistical overview of the dynamics of foreign trade over the last decade and calculate terms of trade index. Secondly, we conduct an econometric analysis of the interdependence of indicators: GDP growth, exports, terms of trade and the price of oil in terms of vector error correction model (VECM). We consider two model specifications for quarterly and annual data, perform “Granger causality” test for the time series data. We found positive short-term and long-term dependence of economic growth on export and oil prices and long-term dependence on the terms of trade, bidirectional relations was not identified. The results confirm the high dependence of the economy on the external sector and export-led growth hypothesis. Thus, exports and foreign trade should be considered as a source of economic growth for the country, the external sector is important to consider when building the economic growth forecast and modeling of economic policy.