Концептуальные положения современной финансовой науки: сборник научных статей ФГОБУ ВПО"Финансовый университет при Правительстве Российской Федерации
In this paper a two-country static model is developed in order to analyze short-run fiscal multipliers and fiscal spillovers in a monetary union. Both countries are large open economies representing core and periphery countries in the Euro zone. This paper implements a structural VECM framework recognizing short-run and long-run cross-economy relationships in order to empirically investigate
the signs and magnitudes of the multipliers. Empirical analysis covers the period of 1979–2011 quarterly. The results demonstrate that domestic fiscal multipliers are positive but small suggesting that private consumption and investments might be crowded out. In addition, the domestic tax shocks have less impact on the output than the government spending shock. Effect on inflation is more significant. Cross border multipliers are also positive. Moreover, a spending spillover effect is larger than the spillover effect from a tax shock.
The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.
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.