2015. vol. 19. No. 1

In this paper we present a new nonparametric approach for fitting the zero-coupon yield curve to coupon bond quotes. Unlike other existing methods, our method has a number of advantages: the ability to fit complex zero-coupon yield curve shapes, the absence of the need to manually choose the smoothing parameter, the ability to ensure the positiveness of the fitted instantaneous forward rates, incorporating market liquidity information, and consistency with a no-arbitrage stochastic model.

Usually nonparametric methods require apriori knowledge about the ratio of accuracy of the solution and smoothness of the term structure. The novelty of proposed method is in the automatic determination of this parameter by using cross-validation method.

We discuss various modifications of the method to incorporate individual preferences of a decision maker used yield curve. For example, one can reflect the horizontal yield in yield curve after certain time to maturity or set own relative/absolute scale for non-smoothness of yield curve.

Alternative methods often assume that bond prices are accurately known. We depart from this assumption by taking into account a possible error of input data (bond prices). Weassume that the order of the error is reflected in the bid-ask spread. This allows on the one hand to take into account possible errors and/or inaccuracy of the original data, and on the other hand to build a zero-coupon yield curves are smooth.

On Russian bond market data we compare the proposed method with several alterna tives for a number of widespread popular quality criteria used for comparison of this kind of meth ods that reflect the accuracy of the result, and the smoothness of the resulting curves. The results of the comparison indicate the superiority of the proposed method for all criteria.

Concepts like rational expectations, workable competition, bounded rationa­lity and the second best are often used informally to suggest that imperfectly competitive market outcomes normally are very good and that it is sometimesappropriate to restrict competition further to achieve even better results. Paul Samuelson’s optimal neoclassical analysis adds plausibility to the inference, but the presumption is profoundly misleading because real markets are bounded rational and corrupt. In Herbert Simon’s satisficing framework expanded to include vicious behavior, second bests are more plausibly interpreted as «second worsts» and comparative merit must be determined with Abram Bergson’s social welfare functions rather than by appeal to the Pareto ideal.

This paper analyses the impact of inequality in wealth distribution on the strength of property rights in non-democratic countries. We construct the model with asymmetric rent-seeking contest and endogenous institutions to demonstrate that the impact of inequality on property rights is non monotonous and conditional on a) what the inequality is driven by: higher aggregate wealth of the ruling class (elite) or its lower share in population; b) how high is the level of inequality, which determines the equilibrium type, conflict regime (with unproductive rent-seeking behavior) or social contract; c) the size of the ruling class, i.e. how limited is the access to power. More asymmetry in wealth distribution between the elite and the mas­ses indeed leads to the emergence of conflict equilibrium. However, as long as economy rests in conflict, the quality of property rights positively depends on the wealth of the elite, but negatively depends on the tightness of the elite class. For this reason, countries with wide-enough ruling class may establish strong institutions both under very high and low levels of inequality, while intermediate cases lead to worse institutions. Moreover, high wealth inequality leads to lower conflict intensity. Consequently, in countries with the most narrow elite lower inequality does not contribute to better institutions, but only increases conflict intensity. We use the results of our model to explain the existent substantial differences in the quality of proper­ty rights institutions between non-democratic regimes, and also interpret some historical ca­ses of institutional development in (post)colonial periods and nowadays.

This empirical study describes the results of the tax capacity efficiency analysis with the stochastic frontier model separately for the personal income tax (PIT) and VAT for 2007–2010 in the 14 regions of Uzbekistan. Although efficiency indicators are sensitive to the exogenous variables (including dummies for the economic structure of the region and dummies to indicate crisis period of 2008–2009), the relative efficiency is stable enough under different specifications of the model. Emerging picture allows to make preliminary conclusions that efficiency of the tax capacity of the VAT is lower than that of the PIT.

It is shown that under the conditions of unchanged current fiscal and other macroeconomic policies, there are unused reserves to increase tax revenues. Additionally collected taxrevenues from VAT and personal income tax can amount to about 1,6 percentage points to GDP.

Obtained results on tax inefficiency levels indicate the presence of reserves in VAT collection (technical efficiency was low for the consumption tax) for as much as 1,5 percentage points to the GDP (or 7,2 p.p. of the total budget revenues). The estimated level of PIT inefficiency accounted for 6~13%, which may indicate the presence of reserves in favor of income tax collection growth at the minimum rate of 0,15 percentage points of GDP (or 0,6 percentage points to the total budget revenues).

In this article, the author explores the system of economic relations of leasing activity in the transactions implemented through project financing. In the work is defined as the relationship between the theory of project financing and leasing, elucidated the theory of essential features of project finance, ways and means of participation in it leasing companies; identify the most significant risks in project financing through leasing; what financial instruments should be brought to the successful implementation of projects; methodological principles grounded assessments of the leasing system developed by the author is presented and analytical indicators of use of leasing in project financing; the units are defined in project financing; are real possibilities of practical application of the various models of leasing (financial, operational, leveraged leasing, lease-back) in project financing; a system of inequalities, which can reflect the economic motivation for participants in the securitisation of lease assets as part of project financing transactions; empirically verified of the significance and direction of the impact factors on investment volumes of deals in project financing leasing (lessee, payments in terms of concluded contracts, lease rate per cent) on a number of major leasing companies in 2007–2014 years, and how these factors are reflected in the pricing of leasing; some typical situations that arise for the risk management of investment projects.

Current status and prospects for the global monetary system today are the subject of intense debate. Many experts suggest that in the coming years it will face serious changes. Their driving force is the growing disparity configuration of modern monetary system, formed the main features in the middle of the last century and based on the US dollar as the key currency, a new alignment of forces in the world economy. On the one hand, the United States due to chronic problems in the economy, especially the so-called «twin deficits» balance of payments and the federal budget, now have only limited capacity to maintain the leading position of the dollar in the global monetary system. One consequence of this was, in particular, occurs rapidly in recent years devaluation of the dollar, which significantly hampered its use as a reserve and settlement currency. On the other hand, in the global economy, new big players, especially the Asian countries whose currencies are significantly strengthened, but at the global level, while virtually not represented.

How important is the problem of reserve currency? More precisely, the problem of performing this role, the dollar and its stability as a reserve currency? In answering this question, many foreign researchers note that by itself the status of «international currency» has less impact on the real economy than the exchange rate. The problem of the dollar as a reserve currency would not be so topical in recent years, if not for its direct connection with the strength ening of international payments imbalances – rising US current account deficit, on the one hand, and an increase in the positive balance of many other countries, particularly in Asia and the – exporters of oil – on the other. The stability of such a situation is entirely determined by the willingness of central banks, particularly Asian, accumulate their reserves in the form of US assets and thereby finance the deficit of the country. The global financial crisis triggered by the US financial system crisis further aggravated the problem of dollar dominance and called into question the stability of the leading positions in the dollar. Possible ways and mechanisms for restructuring the world monetary system to a multi-standard, as well as the prospects for the US dollar as a reserve currency are discussed below.