Материалы Международной конференции «Обеспечение устойчивости системы России путем введения мегарегулятора. Международный опыт регулирования, контроля и надзора», 17 октября 2013 г., Москва, ЦМТ. Международная Академия экономики, финансов и права (IAEFL)
This paper analyzes a short-term interest rate model with mean and volatility driven by an unobserved Markov chain. There are two main innovations in the approach. Firstly, we allow the state generating process to be endogenous as opposed to most such studies which assume this is an exogenous process. This model captures the dynamics of the short-rate process successfully and conclusively performs better than a GARCH process. Secondly, we use heuristic arguments to determine the relationshi p between predictable policy, i.e. transparency and measures of openness and accountability on th e part of the Central Banks. In this sense this study is unusual in the literature on Markov switching applications to short rate, since we draw economic conclusions rather than simply analyzing econometric properties. Results suggest that the market generally anticipates rate changes one-period-ahead and that the move by Banks towards greater openness and accountability in policy may have contributed to this. Finally, a non-parametric statistic, the concordance measure, indicates the nature of the co- movement in regimes and finds evidence of similar levels and regimes of predictability across Anglophile countries.
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.