SEARCH
 

Search

 

Результаты поиска 1 - 7 из 7
Начало | Пред. | 1 | След. | Конец


A roller coaster ride for the Russian ruble. Part 2

Alekhin B.I. Russian State University for Humanities, Moscow, Russian Federation ( b.i.alekhin@gmail.com )

Journal: Financial Analytics: Science and Experience, #2, 2018

Importance This article considers the relationships between the Brent crude oil price and the Russian ruble/dollar rate.
Objectives The article aims to empirically check the statements on loosening the dependence of the ruble on the price of Brent crude oil, using Russian data for the period from 16 June, 2014 to 27 November, 2017 (181 weekly values).
Methods The study uses econometric tools, which include tests for changes in the data structure, unit root, weak exogeneity, and a model of correction of equilibrium errors.
Results The article presents the results of the analysis of structural changes corresponding to the three regimes of the ruble exchange rate and Brent oil price.
Conclusions Various rate formation factors, such as low inflation and high key interest rate of the Bank of Russia, have stimulated the influx of foreign investments. The demand for rubles to purchase Russian assets, primarily government bonds, is rising, and the ruble exchange rate is rising as well. As a result, the ruble exchange rate loses its cointegration with Brent crude oil price.


The Fisher effect in Russia

Alekhin B.I. Russian State University for the Humanities, Moscow, Russian Federation ( b.i.alekhin@gmail.com )

Journal: Financial Analytics: Science and Experience, #46, 2015

Importance The Fisher effect means an assumption that the nominal interest rate is a sum of the real interest rate and expected inflation. Researchers demonstrate an ongoing and high interest to empirically check the Fisher effect mostly due to an important role of money in the economy.
     Objectives The research presents an empirical verification of the Fisher hypothesis in the Russian market of bank loans and relies upon 59 observations starting from Q4 2000 up to Q2 2015.
     Methods I applied the econometric methodology encompassing the extended Dickey–Fuller test for the unit root, Engle–Granger test for co-integration, Error Correction Model and the Granger casualty test.
     Results I detected the co-integration of non-stationary nominal interest rates and inflation, and slowly recovering balance between them. The inflation influences nominal interest rates, while they have no effect on the inflation.
     Conclusions and Relevance The Russian market of bank loans experiences the incomplete Fisher effect with a very slow correction. The incomplete Fisher effect is beneficial for borrowers, rather than banks. The conclusions call for the market liberalization, competition development in the banking sector and further privatization of State banks and other firms with high public interest. It is extremely important to reduce the inflation.


Oil and the Russian ruble: two links of the same chain

Alekhin B.I. Russian State University for Humanities, Moscow, Russian Federation ( b.i.alekhin@gmail.com )

Journal: Financial Analytics: Science and Experience, #16, 2016

Importance The article discusses the nominal rate of the Russian ruble and oil price.
Objectives I trace the relationship between the nominal price of a crude oil barrel and the nominal exchange rate of the Russian ruble using 835 weekly observations in between January 2000 and December 2015.
Methods I used econometric methods including the Bai–Perron test to detect structural breakpoints, augmented Dickey-Fuller test, Johansen cointegration test, vector model of error correction, Granger causality test and ordinary tests.
Results Stationarity, cointegration and causality tests were performed within the entire sample in five modes. I detected the cointegration of non-stationary Brent price and the Russian ruble rate in the modes after 2006. The outcome of the Johansen test looks more preferable in the mode of 9 June 2014 through 28 December 2015, where I noted the time threshold for recovery of the equilibrium between the crude oil Brent price and the Russian ruble rate in the current period after the price shock in the previous period.
Conclusions and Relevance I verified the hypothesis that the Russian ruble rate positively depended on the crude oil Brent price, though it was not only the price that determined it. The empirical model explains 96% of the rate variance, with the equation of the vector model of error correction with the crude oil Brent price substantiating for almost 40% of the rate variance.


Pension, inflation and public-sector debt

Alekhin B.I. Russian State University for Humanities, Moscow, Russian Federation ( b.i.alekhin@gmail.com )

Journal: Financial Analytics: Science and Experience, #35, 2014

The article considers the issue of financial punitive measures in modern Russia in terms of pension savings, most of which get invested in nominal government bonds and managed by Vnesheconombank, the government-owned management company (GMC). The author uses a traditional research method, which is simplyfied in the sense that a full-fledged testable hypothesis is replaced by a thesis that an erosion of retirement savings' purchaing power is a product of financial punitive measures aimed to reduce the government's domestic debt. A set of information includes official statistics data, as well as the results of 414 government bonds issuances performed within the period of 2003-2013. The analysis of the given information supports that thesis. In modern Russia, we can observe all the conditions and elements of financial punitive measures as they are "prescribed" by the literature. The paper points out that the financial punitive measures mainly harm would-be pensioners, who by default, or knowingly allowed GMC to manage their pension accruels. GMC, whose investment options are severely constrained by "prudential" regulations and the lack of inflation-protected instuments, invests heavily in nominal government bonds issued primarily with negative real yields. Therefore, the GMC' objective recorded in investment declaration (to ensure the long-term growth of pension savings) is not attainable, if this increase is expressed in constant prices. From 2004 onwards, GMC has lost a quarter of the purchaing power due to inflation of its "pension" portfolio, while a group of private investment managers with more ample investment opportunities scored a draw in the fight against inflation.


A roller coaster ride for the Russian ruble

Alekhin B.I. Russian State University for Humanities, Moscow, Russian Federation ( b.i.alekhin@gmail.com )

Journal: Financial Analytics: Science and Experience, #23, 2016

Importance After the Russian ruble became a petrocurrency, it got very important to examine the nature, scope and reasons for its fluctuations against the U.S. dollar used for oil contracts. The research covered the period from 3 January 2000 through 28 December 2015 (835 weekly indicators).
Objectives The research empirically checks the conventional opinion on that the Russian ruble rate depends on the Brent oil. If such dependence is identified, I determine its nature.
Methods The research uses an econometric methodology, including the Bai–Perron test for structural breaks in unknown points, Granger causality test, Dickey–Fuller tests for a unit root, Johansen test for cointegration, Engle test, Vector Error Correction Model and conventional diagnostic tests.
Results I performed tests for stationarity, causality, cointegration and weak exogeneity within the entire sample through five approaches formulated upon results of the Bai–Perron testing.
Conclusions and Relevance The research proved the hypothesis that the Russian ruble rate has a positive linear correlation with the Brent oil. In 2013–2015, the empirical model (cointegration correlation) explains 96% of variance in the currency rate, with the equation of the VECM system with the oil price on the right side covering almost 40% of variance in the currency difference. The cointegration of the Brent oil and the Russian ruble rate arose after 2006 and incremented, if we looked at the equilibrium recovery pace, which had become record high within 9 June 2014 through 28 December 2015. The process was fueled as the Russian economy had become more dependent on oil for the recent 15 years.


The real interest rate in Russia

Alekhin B.I. Russian State University for Humanities, Moscow, Russian Federation ( b.i.alekhin@gmail.com )

Journal: Financial Analytics: Science and Experience, #22, 2015

Importance The article overviews rates of return on time deposits and governmental securities, examining the real interest rate on these instruments in Russia of the 21st century.
     Objectives The research aims at examining the effect of inflation, borrowers' interest rate policies, concentration of the time deposit segment and governmentalization of major banks on the real interest rate.
     Methods Using the quantitative analysis of official statitistical data and results of 450 auctions for placing government securities, I determine the real interest rate on time deposits and government securities. I carry out the quantitative analysis of the information.
     Results The real interest rate in Russia is permanently negative, i.e. it is an illegitimazed tax. It is applicable to banks that attract public funds in the form of time deposits. Afterwards through the government securities market, it is allocated in the favor of the State. Selling its securities with negative real return to banks, the government partially collects the tax, thus comepsating for reduced purchasing power of its budget due to inflation.
     Conclusions and Relevance Russia demonstrates all conditions making the real interest rate negative, i.e. moderate inflation, high percentage of population who are financially captured by the State and have to hold their savings with state-owned banks, high concentration of the banking sector and its oligopolistic structure, high extent of governmentalization of the largest banks, explicit or implicit capping of deposit rates and government securities yield. The conclusions illustrate the need to liberalize the market of retail deposits, improve public awareness and knowledge of personal financial management. If financial repressions are alleviated (this is the term used in academic literature, i.e. negative interest rate, it will attract more people to banks, thus increasing financial flows to the Russian economy.


Search for benchmarks for sustainable urban development of the region

Alekhin E.I. Orel State University, Orel, Orel region, Russian Federation ( e.alehkin@mail.ru )

Tikhii V.I. Orel State University, Orel, Orel region, Russian Federation ( tikhiivi@yandex.ru )

Journal: Regional Economics: Theory and Practice, #36, 2014

Subject Towns that form economic relief of the territory, their substantial development, adaptation and stimulation of positive socio-economic and ecological changes, determine the ecological and socio-economic situation of the region, what actualizes the regional urban system monitoring.
     Objectives Our study assesses the socio-economic development of towns of the Orel region (a quite typical region of Central Russia) from the viewpoint of transformation.
     Methods We have analyzed the development of different regional economy sectors which appear to be the sources of transformational processes. We considered the competitive advantages as well as the factors restraining the adaptation abilities of towns. While assessing the urban development degree we used two main approaches: the selection of quantitative and qualitative indicators monitoring and calculation of the single integral index by econometric methods.
     Results We juxtapose the results of the performed qualitative situational analysis of the regional urban settlements and the results of the mathematical analysis of the socio-economic processes occurring in the region. We have studied the main urban development indicators in towns of regional and district jurisdiction, towns' CDI index and its dynamics. We prove that both these approaches despite using the information of different character enable the researcher to reach the essentially concurrent conclusions, what enhances their reliability.
     Conclusions We found that the bigger towns of the region by their socio-economic development may be referred to poorly developing settlements while the smaller towns may be referred to stagnating ones with the retrogression symptoms. We have also determined the most important priorities of regional policies regarding the towns of various types and searched for the most optimal guidelines of their sustainable development.


Результаты поиска 1 - 7 из 7
Начало | Пред. | 1 | След. | Конец


Отсортировано по релевантности | Сортировать по дате