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Correlation of macroeconomic parameters and Russian government bond yield

Mikhailov A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( alexeyfa@ya.ru )

Journal: Finance and credit, #48, 2016

Importance The article presents a DSGE model based on adaptive expectations theory. It shows how the developed model can be used to forecast the government bond yield and economic parameters of Russia.
Objectives The aim of the study is to describe the possibility of using DSGE models forecast government bond yield in the Russian economy.
Methods The paper examines how the methodology of a dynamic stochastic general equilibrium model can be used to predict the yield of government bonds in 2016–2019, offers modifications of the Taylor rule and components of forecasting the Russian ruble exchange rate, which is typical of resource-based economies, where there is a close relationship between the exchange rate and prices for raw materials.
Results The paper offers a modified dynamic stochastic general equilibrium model, and a forecast of main macroeconomic indicators for 2016–2019, i.e. economic growth, inflation, ruble exchange rate, effective yield of government bonds (RGBEY).
Conclusions and Relevance The monetary policy parameters are significant for determining the expected government bond yield. The paper fills a gap in the use and practical implementation of DSGE models for the Russian economy. In addition, it explains how to forecast the term structure of interest rates based on macroeconomic indicators using the stochastic endogenous growth models.


A theory of cryptoasset valuation

Mikhailov A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( alexeyfa@ya.ru )

Journal: Financial Analytics: Science and Experience, #6, 2017

Importance The article proposes a cryptoasset valuation system and price pattern on the basis of GARCH-approach. The article shows what cryptoasset reporting system can be used for investment evaluation and improvement of the attractiveness of the relevant market for potential investors.
Objectives The paper aims to form a theoretical basis for cryptoasset valuation and generate proposals on development of a single reporting system of the relevant market.
Methods I used principles of cryptoasset ranking on the basis of the existing methodology of International Accounting Standards. For cryptoasset price forecast, I propose using a standard VAR methodology on the basis of GARCH model.
Results I have considered an entirely new class of assets. I propose a cryptoasset ranking system on the basis of cryptoasset potential risk assessment. To solve the problem of universal reporting, I suggest using the xBRL standard which is an official standard of business reporting. I also offer a decentralized solution to cryptoasset value forecast.
Conclusions and Relevance The practical significance of the study consists in structuring of existing theoretical knowledge about cryptoasset prices. This work fills up the gap in such asset price forecast and gives an opportunity to objectively assess different types of cryptoassets to build an investment portfolio with a definite risk level. The article shows the basic trends of cryptonomics development which increases in priority rates in comparison with the traditional economics.


Prioritization of healthcare projects

Stepanova E.A. Department of Endocrine Diseases, SANOFI Group, Moscow, Russian Federation ( hlnstepanova@yandex.ru )

Mikhailov A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( alexeyfa@ya.ru )

Journal: National interests: priorities and security, #40, 2015

Importance The article describes the new tools of project and investment management to improve performance indicators of formation of a portfolio of projects in medicine.
     Objectives The paper aims to describe the features of the application of portfolio management methods of medical projects for the optimal allocation of financial resources in the context of the Russian economy.
     Methods We consider how exactly the project management methodology can be applied to medical projects, we study the classification of medical projects, and we propose a method for prioritizing the projects of health institutions.
     Results We propose to use the prioritization method based on the Niven Priority Matrix and Rudenko-Romanenko project selection model. We considered the balanced scorecard used to evaluate the perspectives and priorities of healthcare institutions, investigated the role of project management in medical projects, and described the mechanism for choosing priority projects in resource-limited settings.
     Conclusions and Relevance We propose an alternative criterion for choosing priority projects, taking into account the interests of the parties and the strategic objectives of the institution. The criterion can be used to identify priority projects in Russian health services even in the face of unstable economic situation. The practical value of the work lies in structuring of the existing knowledge of the applicability of project management in the field of health and development of a model for selecting priority projects for Russian healthcare institutions.


Term structure of government bond interest rates

Mikhailov A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( alexeyfa@ya.ru )

Journal: Financial Analytics: Science and Experience, #38, 2015

Subject The paper proves the influence of inflation expectations and inflation uncertainty on the form of zero-coupon yield curve of government bonds, and analyzes the term structure of government bond interest rates over 2014-2015.
     Objectives The study aims to describe the possibility of applying the theory of inflation expectations to forecasting the government bond yields in the Russian economy.
     Methods I analyze how the hypotheses describing the term structure of government bonds can be used in Russia.
     Results The low level of inflation uncertainty explains the upward slope of the yield curve of government bonds, which is typical of stable economy. The periods, when investors lose confidence in their forecasting models of inflation expectations and expectations of consumption growth rates, coincide with periods when prices for assets (including government bonds) are dropping. This means that government bonds are not an effective tool to hedge against both the risks of economic stagnation and the Knightian uncertainty risks.
     Conclusions and Relevance The practical significance of the work is in the structuring of the existing knowledge on applicability of hypotheses for predicting the term structure of interest rates in Russia. Since the government bond market largely determines the level of interest rates in other segments of the debt market, this model allows a better evaluating the market sentiment before the government bond issuing. The paper reveals the dynamics and relationship between the debt market indicators in 2015, which changed significantly against the pre-crisis values.


Oil market pricing and the impact on stock market

Mikhailov A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ayumihajlov@fa.ru )

Burova T.F. Financial Research Institute of Ministry of Finance of Russian Federation, Moscow, Russian Federation ( burova@nifi.ru )

Journal: Finance and credit, #1, 2018

Importance The article studies the main features of pricing in the oil market, as well as the influence of oil prices on the stock indices of countries.
Objectives The paper aims to analyze the major trends in the oil market and develop a model to predict the impact of oil prices on stock market indices.
Methods This work uses the probit-model with the real prices for Brent crude oil, a three-month interest rate in the money market, consumer price index, and the GDP growth rate, as binary dependent variables.
Results The article reveals tendencies of pricing at different stages of oil market development and shows the influence of oil prices on stock indices, both developed countries and Russia. Also, it offers a forecast of oil prices between 2017–2019.
Conclusions The practical significance of this work is the structuring of existing knowledge about the applicability of probit-models in the conditions of the Russian economy. Based on the forecast of supply and demand in the oil market in the nearest three years, the paper says oil prices will not be subject to growth. The effect of oil prices on stock markets is asymmetrical, in general, except for the Russian and Canadian stock markets, where correlation coefficients are positive. This is because Russia and Canada have a prevailing share of crude oil and hydrocarbons in net exports.


Setting up the Development Bank as part of the Shanghai Cooperation Organization

Mikhailov A.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( alexeyfa@ya.ru )

Knyazeva E.O. Financial University under Government of Russian Federation, Moscow, Russian Federation ( eo.knyazeva@gmail.com )

Journal: National interests: priorities and security, #39, 2015

Importance The article overviews the history and structure of the Shanghai Cooperation Organization (SCO), points out project management methods that are used to effectuate the SCO activities. Drawing upon the analysis, we evaluate the most efficient ways of implementing the project for setting up the Development Bank.
     Objectives The research pursues identifying the most probable scenario of setting up the SCO Bank. This objective becomes attainable by addressing the following interim objectives: examination of the SCO institutionalization history; structuring the SCO governing bodies; systematizing the existing alternatives of establishing the Development Bank; identifying the most appropriate approach to incorporating the SCO Bank.
     Methods Relying upon observations, interviews, situation modeling and systems analysis, we reviewed various stances on the SCO, determined various initiatives for setting up the SCO financial institutions, and demonstrated the most probable way of establishing the SCO Bank.
     Results The findings show that the SCO Development Bank is most likely to be incorporated on the basis of the Eurasian Development Bank.
     Conclusions and Relevance We conclude that, currently it would be more reasonable for the SCO to use the existing Eurasian Development Bank for setting up its own financial institution, since this method will secure the controlling portfolio of shares for Russia in making decisions on the Bank's operations and reduce incorporation costs.


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