Russian Journal of Money and Finance最新文献_第4页

IBRN Initiative on Interactions of Monetary and Prudential Policies 国际复兴开发银行货币政策和审慎政策相互作用倡议

Russian Journal of Money and Finance Pub Date : 2020-09-01 DOI: 10.31477/rjmf.202003.58

K. Styrin, Yulia V. Ushakova

引用次数: 1

Maturity Structure of Banking Transactions and Its Role in Predicting Negative Net Worth of Banks 银行交易期限结构及其对银行负净值的预测作用

Russian Journal of Money and Finance Pub Date : 2020-06-01 DOI: 10.31477/rjmf.202002.70

Mikhail Mikhail, Cerge-Ei

{"title":"Maturity Structure of Banking Transactions and Its Role in Predicting Negative Net Worth of Banks","authors":"Mikhail Mikhail, Cerge-Ei","doi":"10.31477/rjmf.202002.70","DOIUrl":"https://doi.org/10.31477/rjmf.202002.70","url":null,"abstract":"In this paper, we perform a microeconomic analysis of positive and negative imbalances in the maturity structure of Russian banks’ transactions. In particular, using Heckman selection models at the cross-section of Russian banks, we test the ability of such imbalances to predict the probability of the detection of banks’ negative net worth and its expected magnitude in advance (three months before negative worth detection). The estimation results show that, first, certain indicators of imbalances do offer ‘value added’ in predicting ‘holes’ in banks’ capital: taking into account these imbalances in banks’ short- and medium-term transactions with households and short-term transactions with enterprises improves the quality of out-ofsample forecasts. Second, the very division into positive and negative imbalances makes sense: the effects are in many cases found to be opposite with respect to the size and likelihood of negative net worth detection at banks. Third, a separate analysis of banking transactions with households and those with businesses is also of great importance: the effect of imbalances in transactions similar in maturity structure but with different types of economic agents is in many cases opposite in sign. The results may be useful for the Bank of Russia in identifying potentially fragile banks as part of its prudential policy.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"112 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116683175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Low Default Portfolios in Basel II and Basel III as a Special Case of Significantly Unbalanced Classes in Binary Choice Models 作为二元选择模型中显著不平衡类的特例，巴塞尔协议II和巴塞尔协议III中的低违约投资组合

Russian Journal of Money and Finance Pub Date : 2020-06-01 DOI: 10.31477/rjmf.202002.101

H. Penikas

引用次数: 2

Announcements of Sanctions and the Russian Equity Market: An Event Study Approach 制裁公告与俄罗斯股票市场:事件研究方法

Russian Journal of Money and Finance Pub Date : 2020-03-01 DOI: 10.31477/rjmf.202001.74

Pavel Dovbnya

引用次数: 0

Forecasting Inflation in Russia Using Neural Networks 用神经网络预测俄罗斯通货膨胀

Russian Journal of Money and Finance Pub Date : 2020-03-01 DOI: 10.31477/rjmf.202001.57

E. Pavlov

引用次数: 4

Expected and Unexpected Consequences of Russian Pension Increase in 2010 2010年俄罗斯养老金增长的预期和意外后果

Russian Journal of Money and Finance Pub Date : 2020-03-01 DOI: 10.31477/rjmf.202001.92

I. Suvorov

{"title":"Expected and Unexpected Consequences of Russian Pension Increase in 2010","authors":"I. Suvorov","doi":"10.31477/rjmf.202001.92","DOIUrl":"https://doi.org/10.31477/rjmf.202001.92","url":null,"abstract":"This paper studies the effects of the pension increase in Russia in 2010 on the labour force participation decisions and living arrangements of senior people and their family members. There is not much research on the effects of pension rises in Russia. In particular, researchers have not yet analysed the influence of pension increases in Russia on non-elderly people nor the heterogeneity of this influence. The increase in pensions in 2010 is of particular interest due to its unique magnitude, its relative independence from economic trends in Russia at that time, and its plausible exogeneity for pensioners. This study provides evidence that this jump in pension caused an approximately 5 percentage point increase in the relative number of seniors who chose to retire. The effect was stronger in the two biggest cities of Russia, namely Moscow and Saint Petersburg, where before 2010 a substantial number of people continued to work after reaching the pension age. One out of four employed pensioners living in these cities left the labour force in 2010. In addition, this paper shows a relatively unexpected external effect on younger individuals. The labour force participation decisions of younger people who lived with pension receivers were influenced considerably. The non-seniors who lived with pensioners, compared with their peers, were less likely to work or to look for jobs. The change in pensions also affected living arrangements. The rate of pension receivers living with their children and grandchildren went up significantly. Thus, the evidence from the 2010 pension increase highlights the fact that policies might have an impact not only on the target group of population, but on the family members of this group as well.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121359670","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Constructing a Yield Curve in a Market with Low Liquidity 低流动性市场下收益率曲线的构造

Russian Journal of Money and Finance Pub Date : 2019-12-01 DOI: 10.31477/rjmf.201904.71

Sabit T. Khakimzhanov, Ye.S. Mustafin, Olzhas Kubenbayev, Dulat Atabek

引用次数: 0

Estimates of the Natural Rate of Interest for Russia: Is Navigating by the Stars Useful? 俄罗斯自然利率的估计:靠星星导航有用吗?

Russian Journal of Money and Finance Pub Date : 2019-12-01 DOI: 10.31477/rjmf.201904.03

A. Sinyakov, Alexey Porshakov

{"title":"Estimates of the Natural Rate of Interest for Russia: Is Navigating by the Stars Useful?","authors":"A. Sinyakov, Alexey Porshakov","doi":"10.31477/rjmf.201904.03","DOIUrl":"https://doi.org/10.31477/rjmf.201904.03","url":null,"abstract":"We estimate the natural rate of interest for Russia in the short term and long term using three definitions of the rate and discuss the possible implications of the results for monetary policy. To start with, we consider partial equilibrium (under no-arbitrage condition), which is presented in the papers on estimating the natural rate. The estimates turn out to be extremely sensitive to assumptions about model parameters. The estimates based on the uncovered interest rate parity, though dependent only on observable (market) variables, impose an additional strong assumption of the path of the future equilibrium exchange rate. We supplement these calculations with calculations in panel data (for long-term equilibrium) and using semi-structural methods (for current equilibrium). To get estimates according to the strict definition of the natural rate we estimate a real business cycle model of the resource-based economy with investments using Russian data. All the estimates are highly uncertain. Taking into account the latter, the central bank should use robust monetary policy rules and avoid communicating the natural rate at least until there has been a sufficient history of business cycles in Russia.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131901823","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Systematic Approach to Operational Risk Management in Central Banks (Regulators): Prerequisites, Current Issues, and Development Prospects 中央银行(监管者)操作风险管理的系统方法:先决条件、当前问题和发展前景

Russian Journal of Money and Finance Pub Date : 2019-12-01 DOI: 10.31477/rjmf.201904.99

V. Goreglyad

{"title":"Systematic Approach to Operational Risk Management in Central Banks (Regulators): Prerequisites, Current Issues, and Development Prospects","authors":"V. Goreglyad","doi":"10.31477/rjmf.201904.99","DOIUrl":"https://doi.org/10.31477/rjmf.201904.99","url":null,"abstract":"As regards financial risk management, its issues have already been worked through rather extensively both in theory and in practice. However, this is not the case when it comes to operational risks. The reason for this does not lie in the two types of risk having differing levels of significance (both types can have disastrous consequences for an organisation); it is rather due to their differing nature and, in the case of operational risks, more complex cause and effect relationships between the sources and consequences of risks. These circumstances make it extremely challenging not only to assess, but also to understand operational risks. Moreover, whereas a lot has already been done in regards to the operational risks faced by commercial institutions (which is largely thanks to the efforts of supervisory bodies who consider this a matter of financial stability), it is only in the last two decades that supervisory bodies themselves (central banks and other regulators, hereinafter referred to as regulators) have been seen to implement operational risk management systems. In this paper, we analyse the prerequisites for the formation of a systematic approach to operational risk management in international practices and conduct comparative analysis of its reasonableness for using by regulators and commercial institutions. Our analysis confirms the relevance of this new trend and demonstrates that, given their specific nature, when regulators implement operational risk management systems in their activities, risk culture and top-down support issues come to the fore.","PeriodicalId":358692,"journal":{"name":"Russian Journal of Money and Finance","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129931269","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Review of Bank of Russia Conference on ‘Macroprudential Policy Effectiveness: Theory and Practice’ 俄罗斯银行“宏观审慎政策有效性:理论与实践”会议综述

Russian Journal of Money and Finance Pub Date : 2019-09-01 DOI: 10.31477/rjmf.201903.89

N. Ivanova, M. Andreev, A. Sinyakov, I. Shevchuk

引用次数: 3