Book
Исследовательские поля облигационных рынков
The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the China’s bond market and its mechanism. Based on the data from China Central Depository & Clearing (CCDC), article gives the result of the computer simulation.
We analyze institutional determinants of the development of local currency (LCY) corporate bond markets in the period from 2010 to 2016. We consider a wide range of indicators of the quality of institutional environment: the Heritage Foundation's Index of Economic Freedom, the Worldwide governance indicators, the World Economic Forum’s indicators of corporate culture, development and regulation of financial markets. Unlike most previous studies, we test not only static regression models (multifactor linear regressions), but also dynamic models based on the generalized method of moments, which allows to solve the problem of endogeneity of variables.
The results show that low quality of institutional environment, macroeconomic and financial instability stimulate growth of the share of LCY corporate bonds in the total issuance volume. In the periods of instability LCY corporate bonds become less attractive for foreign investors, and issuers are forced to raise capital in the domestic market. The most significant factors in both static and dynamic model specifications are the World Bank’s indicators of regulatory quality and rule of law. A decline in sovereign credit ratings also gives impetus to the development of LCY corporate bond markets.
An original result is that more developed stock markets suppress the growth of LCY corporate bond markets: equity and corporate bonds are competing financing sources for companies from developing countries. A developed banking sector contributes to the growth of the LCY corporate bond market: banks act as dealers and market makers. Devaluation of the national currency has a significant positive influence on the explained variable.
The article deals with the actual situation in Russian banking system, analyzing causes and effects of excess liquidity of Russian banks.
The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds.
The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features and patterns using macro and micro level data. It also takes into consideration various securities type i.e. government, corporate, sub-federal and municipal bonds, to identify respective challenges and risks. The book also analyses factors that may inhibit or stimulate a well-balanced financial market. It includes case studies of Asian, Latin American and Russian bond markets, as also as cross-country comparisons.
It will be a useful reference for anyone who is interested to learn more of the bond market and the modelling techniques for critical data analysis.
The article deals with the research of construction of the term structure of interest rates on the China’s bond market. The article provides an overview of the exist research from 1997 to 2010. Based on the data from China Central Depository & Clearing (CCDC), article gives the computer simulation result of the Hermite interpolation
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.