Анализ факторов динамики обменного курса рубля
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 (see Vdovichenko / Voronina 2004). Due to the rising flow of petrodollars, the rouble is currently experiencing a significant real appreciation. The fear to harm exports causes the monetary authority to respond by accumulating dollar reserves and increasing the money supply, thus preventing a nominal appreciation. Such policy leads to high inflation which benefits of some groups at the expense of others. That is why the optimal degree of intervention is in the centre of the current political and economic debate.
After the collapse of the crawling peg exchange rate regimes during the Emerging markets crisis in the late 90's, the so-called «hollowing out of the middle ground» view of exchange rate regimes gained ground. For example, Fischer (2001) argued that intermediate exchange rate regimes are crisis-prone and not viable over long periods of time. In accordance with this intellectual trend, a number of countries (Brazil, Korea, Mexico, the Philippines and Turkey) de jure adopted floating exchange rate policies. Nevertheless, Calvo and Reinhart (2002) have pointed out that the central banks of these countries often de facto manage their exchange rates and accumulate a large «war chest» of foreign currency reserves, a phenomenon they call «fear of floating».
Using a panel data set of 180 countries spanning from 1971 to 2000, we find evidence that exchange rate policy affects macroeconomic performance for the sample of non-industrialized countries. We consider two measures of economic performance: i) per capita GDP growth and ii) the volatility of per capita GDP growth and investigate the nature of their dependence on de facto/de jure mix of exchange rate policies. Our characterization of exchange rate policy measures whether a country's de facto policy is consistent with its publicly stated de jure exchange rate regime. Employing the Rogoff and Reinhart (2002) de facto classification we find the significant statistical relationship between exchange rate policy and growth which is robust to the inclusion of conventional growth control variables. Our nuanced characterization shows that the non-industrialized countries exhibiting `fear of floating,' have higher GDP growth. With respect to GDP volatility a division of policy into fixed versus floating exchange rates using the de facto/de jure metrics is significant and indicates that `fear of floating' is stabilizing for the non-industrialized but destabilizing for industrialized 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.
The paper studies a problem of optimal insurer’s choice of a risk-sharing policy in a dynamic risk model, so-called Cramer-Lundberg process, over infinite time interval. Additional constraints are imposed on residual risks of insureds: on mean value or with probability one. An optimal control problem of minimizing a functional of the form of variation coefficient is solved. We show that: in the first case the optimum is achieved at stop loss insurance policies, in the second case the optimal insurance is a combination of stop loss and deductible policies. It is proved that the obtained results can be easily applied to problems with other optimization criteria: maximization of long-run utility and minimization of probability of a deviation from mean trajectory.