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XII Международная научная конференция по проблемам развития экономики и общества. В четырех книгах. Книга 1.
Russian stock market has quite а long history from its establishment in 90th of XX century till nowadays. Current operational and legal infrastructure of the financial market in Russia has [so far] been established as a complete system. And the market itself has become an essential part of the Russian economy.
Despite all modern developments, high market liquidity and securities turnover level, especially during the pre-crisis period of the year 2008, regulatory and controlling infrastructure has not developed sufficiently to be considered mature and complete. Allegedly, the most widespread market abuses in Russian stock market are illegal insider trading and market manipulation. It worth noting that the legal framework for that kind of control and monitoring activities on the market was not established till the end of 2010 when the federal act on prohibition of insider trading and markets manipulation was adopted (Federal Law № 224 – FL 224).
The FL № 224 introduced the notion of «insider», «insider (material) information» and declared norms and regulations for prevention of illegal activities on the financial market. It is obvious that it will take a while to fully incorporate all the innovations into the market and make the majority of the Russian stock market participants adopt «prudent» behavior. And it will definitely be accompanied by the development of comprehensive control and monitoring infrastructure, a bulk of government information letters and intra-firm bylaws concerning insider trading, material information, compliance guidelines etc. The process will be a little chaotic and steplike along with the information and experience accumulation within the market and by its participants.
The above mentioned regulatory, control and compliance documents can be viewed as a «cover» (or «shell») for its «contents» – the effective anti-fraud infrastructure in the market. Here one can refer to the anti-fraud infrastructure as specific software and hardware-based monitoring solutions for exchanges and for the regulator (Federal Department of Financial Markets, Russian stock market regulator), proper disclosure system, dedicated staff within market participants etc.
Therefore the development of an efficient control and monitoring system supported by thorough research work is highly topical. And one of the most important components of such a system is market abuse detection methods. The rest of the article includes the discussion of some aspects of this «ideal» monitoring system, a brief summary of the existing literature on the subject and the indicative example of one newly developed math approach.
The recent financial crisis highlighted the role of bank's capital structure in transmitting financial market shocks to the real economy. Using the individual bank’s balance sheet data I set up a natural experiment framework in order to investigate the impact of substantial foreign borrowing by Russian banks on their lending policies before and after the collapse of the Lehman Brothers, which represented a sudden-stop for the Russian banking sector. Having identified a sample of banks that relied on foreign borrowing through the issuance of Eurobonds and syndicated loans I study their lending and funding policies as a result of a sudden-stop. My other objective is to investigate how effective was substantial quantitative easing conducted by the Central Banks of Russia (CBR) through repo auctions with domestic banks in terms of its impact on lending policies of financially constrained banks.
In order to motivate this research one needs to demonstrate that the Russian banking system relied heavily on external borrowing from international capital markets and that a sudden-stop was unanticipated. According to the CBR estimates foreign liabilities of the Russian banking sector represented 19% of total liabilities in August 2008, while individual deposits represented 24.5% of bank's liabilities. Also De Haas and van Horen (2008) found that Russian borrowing on international syndicated loans market represented 33% of the total global syndicated borrowing in 2005-2008, after the US and the Euro-15 countries were excluded.
Regarding the unanticipated nature of the recent crisis studies by Taylor and Williams (2009) and McAndrews et al. (2008) report that prior to Lehman Brothers’ collapse on September 15th 2008 the liquidity risk premium and credit risk premia was stable. After Lehman sovereign CDS spreads exhibited a sharp increase, which effectively shut down the emerging economies from international capital markets. This evidence suggests that the Lehman’s bankruptcy was unanticipated by financial markets.
Rajan and Tokatlidis (2005) argue that, in the case of a sudden stop, emerging market economies with dollarized banking systems experience a dollar shortage. In this respect, my study contributes to large body of literature that investigates sudden stops in an emerging market context by looking at massive non-IMF interventions by domestic central bank.
In a cross-country setting Demirguc-Kunt et al. (2006) examine how banks manage their credit portfolios during the crisis and examine effectiveness of anti-crisis policies. Giannetti and Simonov (2009) using the data on individual Japanese banks investigate the impact of government recapitalization of banks on their clients during the crisis. My work focuses on another form of banking system bailout – liquidity infusions by the central bank through repo auctions. This research contributes to the literature that seeks to answer a question: what are the real consequences of government interventions and which form of interventions is more effective?
This paper provides empirical analysis of macroeconomic effects of state ownership of banks. The aim is to test one of the key findings of theoretical and empirical literature of 1990s and early 2000s, namely that sizeable state ownership of commercial banks hinders financial development and economic growth. We focus on several large emerging markets including BRIC countries (Brazil, Russia, India and China) and test several specific hypotheses for the period from 1995 through 2009. Our results suggest that positive or negative sign of the government ownership impact on financial intermediation and economic growth is not constant for all times but varies depending on the type of national economy (mature market or emerging market) and, within the emerging markets category, on the level of economic development. The impact is therefore heterogeneous and not homogeneous. This finding is in contrast with the established theory but in line with the most recent empirical literature.
The welfare analysis of the monetary policy has been in the centre of macroeconomics since the Great Depression. Empirical observations of the Phillips curve suggest that prices are sticky in the short run and, therefore, the monetary policy may be used to smooth the business cycle and increase social welfare.
In an open economy where foreign shocks may be passed into the domestic economy the task of the monetary policy becomes even more complicated. Under high pass-through of exchange rate onto the domestic prices, monetary policy stops to be independent and should adjust to exchange rate shocks. Such a policy of smoothing exchange rate fluctuations is common in western economies (e.g. [Parsley, Popper, 1998]).
The problem of optimal monetary policy is extremely relevant for Russia. Although the monetary authority claims that inflation targeting is the main goal of the monetary policy, empirical finding suggest that the real exchange rate targeting is of major importance [Vdovichenko, Voronina, 2004]. Due to the rising flow of petrodollars, Rouble is experiencing significant real appreciation recently. But the fear to loose exports makes the monetary authority respond to this real appreciation by accumulating dollar reserves and increasing the money supply, thus preventing the nominal appreciation. Such policy leads to high inflation and benefits of some interested groups at the expense of others. That is why the optimal degree of intervention is in the centre of all political and economic discussions nowadays.
Recent empirical literature finds that prices are more sticky downwards than upwards. This effect it called «asymmetric price rigidity» and may result from money illusion of workers, collusive behaviour of firms or search behaviour of consumers. Therefore, in this paper we propose a model in which we assume downward price rigidity and determine the optimal monetary policy in case of positive and negative exchange rate shocks. We claim that while depreciation of the domestic currency should be accompanied by a significant rise in the interest rate, its appreciation of the same size should be accompanied by a much smaller cut in the interest rate. Then we test this claim on the Russian data.
We address the external effects on public sector efficiency measures acquired using Data Envelopment Analysis. We use the health care system in Russian regions in 2011 to evaluate modern approaches to accounting for external effects. We propose a promising method of correcting DEA efficiency measures. Despite the multiple advantages DEA offers, the usage of this approach carries with it a number of methodological difficulties. Accounting for multiple factors of efficiency calls for more complex methods, among which the most promising are DMU clustering and calculating local production possibility frontiers. Using regression models for estimate correction requires further study due to possible systematic errors during estimation. A mixture of data correction and DMU clustering together with multi-stage DEA seems most promising at the moment. Analyzing several stages of transforming society’s resources into social welfare will allow for picking out the weak points in a state agency’s work.