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The modified Taylor rule for the Bank of Russia based on mode switching

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Mukhin A.S. Financial University under Government of Russian Federation, Moscow, Russian Federation ( mukhin.alexey@gmail.com )

Dovzhenko S.E. Saint Petersburg State University, St. Petersburg, Russian Federation ( serg.dovzhenko@gmail.com )

Journal: Finance and Credit, #2, 2015

Russian and foreign studies prove that the policy of central banks can be described by one or another version of the Taylor Rule. The Taylor Rule is a rule of a monetary policy, which defines how the interest rate changes in case of a change in GDP and inflation indicators. In particular, it states that for each percent of inflation growth a central bank has to increase the nominal interest rate by more than one percentage point. This aspect is often called the Taylor principle. The authors made an empirical assessment of the efficiency of the Bank of Russia policy and built an econometric model based on the nonlinear least square method. The authors used the data on inflation rate and GDP size from the official site of the Federal Service of State Statistics, and the inflation data - from annual reports of the Bank of Russia on principal direction of the unified State monetary policy. The authors calculated the GDP gap as a difference between the quarterly GDP value and its trend generated with the help of the Hodrick-Prescott filter. The results of the built model enabled to conclude that all indicators turned out to be significant. According to the original Taylor's work, the coefficient of inflation gap is 1.5, and the coefficient of GDP gap is 0.5. In our case, the coefficient of inflation gap was lower and made 1.13, and the coefficient of GDP gap - 0.4. On the basis of our calculations (the Chow test and evaluation of two econometric models for two sub-samplings: during pre-crisis and post-crisis periods), we found out that it is incorrect to apply the standard Taylor Rule to the Russian economy during crisis periods. We believe, it is necessary to develop a Taylor Rule, which the Bank of Russia can use in inflation targeting based on crisis situations.


Optimization of pension savings portfolios

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Journal: Financial Analytics: Science and Experience, #10, 2015

Importance The study defines a model that can be used with a particular strategy taking into account the market situation (passive, aggressive and balanced ones).
     Objectives I used the assets that have been authorized by the Russian legislation in respect of pension savings, and also those assets, which are not authorized by the Russian legislation provisions.
     Methods Having built the most popular models and methods of formation of an investment portfolio, I can conclude as follows: the quasi-Sharpe model is more applicable for passive control, which allows to find an effective portfolio with minimum risk and which is best suited to work with in an unstable market, such as the Russian equity market. I assume that Huang and Litzenberger methods are the methods, which enable to find an effective portfolio among many portfolios, which satisfies an investor in terms of rate of returns. In addition, this method has no limits on positions, which permits to open long position (buy) and short position (sell). Portfolio, which was compiled in the research, includes assets, which are not allowed for investment, which showed 10.05% return on assets for 2013 period, which are 3. 67% higher than the portfolio of the largest non-government pension fund of the Russian Federation. The largest share in portfolio, which was formed by the quasi-Sharpe method belong to corporate and municipal bonds.
     Results The paper underlines that 9 % annual yield to match the selected benchmarks underlies the need for an increase of the number of instruments that can be invested in pension savings. Low yield of permitted instruments leads to an increase in the share of more profitable assets in an investment portfolio. Thus, an optimal calculation portfolio weighted second-tier shares amounting to 14.11%. I emphasize that despite the fact that these securities are not allowed for investment to the National Pension Fund (NPF) such practice must be introduced at the legislative level.
     Conclusions and Relevance I consider that this procedure can be performed at the expense of expanding of the list of assets of investable pension savings.


Assessment of external and internal factors affecting the effectiveness of activities of pension management companies

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Didenko A.S. Financial University under Government of Russian Federation, Moscow, Russian Federation ( alexander.didenko@gmail.com )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( d.sedykh@list.ru )

Journal: Financial Analytics: Science and Experience, #33, 2014

The article provides an estimation of efficiency of activities of 46 companies, which managed pension savings for the period of 2004-2012 on the basis of the DEA (Data Envelopment Analysis) methodology application. The authors point out that the used DEA model considered the portfolios of the management companies as a unit of decision making, which transform the risk, human and financial capital in an active returns and quality of diversification. The paper describes the measure of incoming risk, which was assumed as follows: the average for the quarter conditional value at risk (Conditional VaR) of the CVaRs portfolio. With respect of the measure of human capital, the paper assumes portfolio management fees within the framework of the activities of a particular investment portfolio and as a measure of financial capital - net assets value (NAV). The quality of portfolio NAV diversification was determined through the covariance of proportions of asset portfolio. The active returns, defined as the excess return over the benchmark yield portfolio (yield of benchmark applications of asset classes in the portfolio) served as earnings yield. The authors emphasize that the panel regression facilitated detection of the external factors (the exchange rate index of the Moscow Interbank Currency Exchange (MICEX) and the interbank sector rates for loans placement) and internal factors (balanced strategy of investment portfolios management, life of the portfolio and seasonality), which affect the efficiency of the activities of the asset management companies. On the basis of calculations, the paper revealed that the most optimal investment strategy is balanced strategy and that a large proportion of assets such as the blue-chip stocks and the amount of monetary assets in the accounts impacted negatively on the performance of portfolio management. The authors identify the seasonality in the investment portfolio management and underline that the third quarter turns out as the most difficult quarter for company. The lifetime of the investment portfolio had a negative impact on the efficiency of its management. This is due to the increase in total net asset value, as well as because of the restrictions imposed by trust agreements that reduce the degree of assets diversification.


The modified Taylor Rule for the Bank of Russia based on mode switching (ending)

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Mukhin A.S. Financial University under Government of Russian Federation, Moscow, Russian Federation ( mukhin.alexey@gmail.com )

Dovzhenko S.E. Saint Petersburg State University, St. Petersburg, Russian Federation ( serg.dovzhenko@gmail.com )

Journal: Finance and Credit, #3, 2015

The policy of central banks of different countries varies considerably and notably during economic crisis. In particular, the authors proved the impropriety of the standard Taylor Rule application for Russia during the crisis period of the Russian economy. Therefore, in this paper the authors develop the modified Taylor Rule based on switching between the modes of economic situation. On the basis of made calculations, the authors put forward an assumption that for assessing the effectiveness of the Bank of Russia monetary policy it is more expedient to use the standard Taylor Rule during the pre-crisis period from 2001 to 2008. However, on the other hand, for the crisis period from 2008 to 2011, it is better to use an alternative monetary policy rule, which includes an index of financial stress in the economy, but at the same time eliminates inflation indicator. The authors used two indices as variables of financial stress, taking into account their complexity and availability for different countries, i.e. the IMF index of financial stress and the financial stress index of the Federal Reserve Bank of Kansas City (the Kansas City FED Financial Stress Index). An important advantage of these stress indicators is the fact that they can detect small stress periods, which do not lead to full-blown crisis, and that they were not considered in the studies based on binary crisis variables. The calculations of the authors show that monetary policy is well described by the switching regimes model. For example, during the crisis, this model shows more accurate prediction than the standard Taylor Rule. The model with IMF index of financial stress is more suitable for the Russian economy. The authors' model can help to evaluate the effectiveness of each monetary policy instrument and its degree of influence during different regimes, as well as to determine what tools can specifically switch the regimes or maintain the desired regime. Estimation, analysis and timely adjustment of interest rates will lead to greater flexibility of exchange rate and will help to reduce inflation and inflationary expectations and, consequently, contribute to a smoother transition to inflation targeting.


Evaluating the effectiveness of arbitration pricing of Moscow Stock Exchange and London Stock Exchange

Fedorova E.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( ecolena@mail.ru )

Popov V.Yu. Financial University under Government of Russian Federation, Moscow, Russian Federation ( vjpopov@fa.ru )

Sedykh D.A. Financial University under Government of Russian Federation, Moscow, Russian Federation ( d.sedykh@list.ru )

Afanas'ev D.O. Financial University under Government of Russian Federation, Moscow, Russian Federation ( dmafanasyev@gmail.com )

Journal: Financial Analytics: Science and Experience, #31, 2014

The paper considers the possibility of arbitration strategy regarding the depository receipts at the LSE IOB and the shares on the Moscow Stock Exchange. The main reason for choosing this particular area for this article is that the most of the trading on the LSE IOB is performed using transactions of the shares of the Russian companies. In December of 2013, the total volume of trading on the IOB amounted to 19.7 billion U.S. dollars, at that time, the trading volume of depository receipts of the Russian companies amounted to 17.2 billion U.S. dollars. Building of models of arbitration strategy requires defining of its parameters and inputting data on the ground of which you can later determine the break-even spread. Such data include as follows: the amount of the arbitration position, which reflects the cumulative amount of the open deals in both markets, which reaches 1 000 000 U.S. dollars; the price of the depositary receipts, which is determined individually for each receipt, in US dollars; the adjusted value of the local share of the LOC; brokerage commission when trading on the Moscow Stock Exchange and the London Stock Exchange is 0,02% of the transaction amount for both trading platforms. Having built an arbitration model for each security, the final list of the securities was defined, according to which in 2013, one can implement the strategy of spatial arbitration earning a profit. Based on the analysis of the break-even spreads, which have been identified for the period of 2013 the profitability of the initially invested funds amounted to 49%, which is a significant indicator for the relatively risk-free model. The program aimed at the accelerated converting of the local shares into depositary receipts, which was introduced in 2014. The program will allow cutting back on the length of the conversion operation from the several days to a couple of hours within one day. The article demonstrates the potential economic effect of the arbitrage transactions using the example of the most liquid financial instruments with dual listing. The paper points out that the aforementioned effect was equal to 55,4%. The authors state that the highest increase of the margin was demonstrated by the more expensive securities, such as shares and depository receipts of OAO Lukoil and OJSC Uralkali.


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