Моделирование кривой доходности на российском рынке государственного долга: макроэкономический подход
The paper considers a potential improvement in the stability of the Russian government bond market by establishing a system of primary dealers. The existing world models of primary dealership are identified and their relations with national market peculiarities are determined based on the analysis of statistics and regulatory documents of 22 countries. The revealed regularities allow the authors to propose a private dealership model adapted to the specifics of the domestic economy.
The fiscal gap is an indicator of the long-term balance of public finance and is calculated based on the intertemporal government budget constraint, which links government tax revenues and expenditures over long intervals. The estimate of the fiscal gap for the Russian general government has been determined according to three scenarios with varying assumptions regarding demographic trends, productivity growth rates, oil and gas prices and the quantity of extractable reserves. The calculations show that the current fiscal policy cannot provide for the stability of public finance in the long run. The main factors of budget imbalances are the growth of pension and health care expenditures caused by demographic trends and the gradual decline in tax receipts from the oil and gas sector.
When central bank abandons fixed exchange rate, it creates a threat of default, since government external debt increases. In this situation fiscal authorities make strategic decision whether to default and finance its government purchases only through tax revenues and seigniorage or to pay government debt. In order to explain government’s choice we build stylized model, where fiscal authorities compare social welfare from these strategies. The main difference of our model from the existing literature is that we consider government’s choice of optimal seigniorage. Seignioarage gives government an incentive to declare a default, since in case of default benevolent government can use seigniorage to finance government spending and increase utility of households. Analysis of the model shows, that even when foreign investors completely trust a government, at a certain level of total factor productivity and initial debt government can declare a default when central bank abandons fixed exchange rate. We show that incentives to default are higher in countries with low factor productivity and high level of initial debt. This result is illustrated by examples of currency crises in Mexico 1994-1995, Argentina 2001-2002 and Turkey 2000-2001.
A significant limitation of the model presented in the work is the modeling of the behavior of foreign investors who consider the probability of a government default equal to zero. Introducing endogenous expectations of foreign investors, which hold government bonds, can help to explain a twin crisis as a self-fulfilling prophecies crisis and explain factors, which influence choice of government in case of devaluation.
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.