2023. vol. 27. No. 3

The compact model of an integrated macro-financial system, proposed in the paper, represents the dynamics of money, debt and wealth. Aristotle had observed the contradictory nature of these economic indicators, which is also evident in the current phase of global financialization, particularly in the use of “deferred” assets accounts by central banks.

In the model, macrofinancial assets, liabilities and real wealth are balanced by considering the dual attributes of money, defined as standard for either “deferred” or current payments. The circulation of liquidity between the financial and real segments of the money market links the accumulation of genuine wealth with the formation of macrodebt, representing the expected but unrealized wealth. The volume of financial contracts is measured in the model by the system’s characteristic time, which determines the repayment dates of obligations. Since the financial subsystem does not produce tangible goods, wealth accumulation occurs in the aggregated real market over calendar time. The dynamics of money, debt and wealth dynamics are modeled using logistic ordinary differential equations, resulting in three-dimensional surfaces representing macrofinancial indices such as total, financial and real wealth, as well as credit and “marginal” wealth calculated under full repayment of obligations.

The model is parametrized using empirical data and illustrated with numerical examples. The system’s behavior is studied based on initial values of real resources, liquidity, rates of return and money issuance, and average liability maturities. The model demonstrates that finance can indeed multiply social wealth, thereby enhancing the efficiency of money transformation into capital (real resources). Excess liquidity in the financial market can coexist with a deficit in the real segment of the money market, and vice versa. The intersection of surfaces representing general and financial wealth indices corresponds to a state of “money neutrality” characterized by zero growth in real resources. Different combinations of interest rates and money emission ratios can lead to deviations from a balanced trajectory, potentially generating various critical phenomena, including resonance-like effects. The model allows for evaluating some negative consequences of financialization, such as the appearance of a “hump” on the surface of long- term liabilities caused by excessive borrowing.

This study provides a description of the monetary rules evolution, applied in Central banks’ monetary policy decisions across different countries, and the research defines its limitations. The authors underline the increasing importance of monetary rules over several last decades, providing predictability of monetary policy. And, consequently, its effectiveness compared with macroeconomic targets, which Central banks are obliged to reach. The paper provides a discussion of rules’ configurations and implementation practices between economists and methodological foundations of monetary rules’ application. The application has been considered in the historical and economic context, which peculiarities frequently lead to economists’ radical revision of monetary policy instruments’ usage in academics and in practice including regimes of targeting exchange rate, money supply and inflation. The authors conduct as empirical assessment of the FRS, the ECB and Bank of Russia monetary policy decisions’ compliance with monetary rules, based on vintage data and key rate variations determined by current macroeconomic conditions and its dynamics. The assessment demonstrates that Bank of Russia followed monetary rules logic at most from the end of 2013 to the end of 2021. In the final part, the researchers make an attempt to answer a question, if monetary rules, which configurations depend on Central banks’ targets to a large extent, are benchmarks for the policy assessment.

This study is devoted to the analysis of the statistical relationship between the effectiveness of the bank and its specialization. Efficiency in the study is considered as a metric that evaluates the quality of management of an organization. Specialization in this case refers to the bank's concentration on certain types of banking products. The specifics of the study are largely determined by the lack of support for the specialization of banks at the legislative level in the Russian Federation. In accordance with Federal Law No. 92-FZ of May 01, 2017 "On Amendments to Certain Legislative Acts of the Russian Federation", all banks, mainly depending on the level of capital, receive universal or basic licenses. In this regard, the authors of the study introduce the concept of observed specialization, which is determined based on the shares of various types of bank assets in their total volume. There are three groups of banks – credit, with a large balance share of funds provided, investment – with a large balance share of securities and universal – not included in these groups. To assess the effectiveness, the methodology proposed in [Polyakov, Polyakova et al., 2022] based on shell data analysis (DEA) is used. Partial efficiency estimates obtained for a certain set of DEA model specifications are aggregated into several indicators using the principal component analysis method. The first component acts as an indicator of overall efficiency, the others allow you to determine its sources. There is a positive correlation between the overall performance indicator and the private performance indicators.

The empirical analysis was carried out using data from the financial statements of banks for the period 2020 and the first three quarters of 2021 for a representative sample of banks.The results obtained allow us to assert that the general and, accordingly, all particular performance indicators have a statistical relationship with the observed specialization. Investment banks are the most efficient, and therefore have the best quality of management, followed by a groupof credit banks, which includes, in particular, all the largest banks in the Russian Federation and, finally, universal banks have the lowest overall efficiency on average.

The results obtained may be of great interest to the management of banks, in particular, in the formation and management of bank holdings and groups. According to analysts of the II Congress of the Association of Banks of Russia by September 2020, these structures controlled more than 95% of the assets of the entire banking system of the Russian Federation. Thus, the stability and efficiency of the banking system as a whole is determined by the stability and efficiency of these structures. The results of this study show that the formation of stable and highly efficient bank holdings and groups can be ensured due to the different observed specialization of their participants.

The problem of volatility forecasting with and without consideration of weekly seasonality effect (the weekend effect) is examined in this research. The question of the seasonality existence is understood in the following sense: do models, which incorporate seasonality, feature better forecasts? The fuzzy GARCH model, which accounts for a weekly seasonality effect is presented in the paper. This model is based on the ordinary GARCH model but allows for the use different dependences in different clusters (both of volatility and seasonality), as well as for the so-called soft switching between the clusters. The suggested method is applied to two indices, which can be deemed as indicators of the Russian stock market condition. The indices are the MOEX Russia Index and the RTS Index. The proposed model is challenged against a fuzzy model without seasonality and a classic GARCH model. The conducted calculations suggest that there is no significant improvement of a forecast if a seasonality is embedded into the fuzzy GARCH model. Fuzzy models show comparable results with regards to the conventional autoregressive conditional heteroskedasticity model. Thus, fuzzy models can be used along with traditional models, however day of the week consideration doesn’t yield a greater quality of volatility forecasts, at least on the samples used. The fuzzy GARCH model may be useful for financial risks estimation and for evaluation of the Value at Risk metric in particular.

Cournot duopoly with yield uncertainty is of interest both from a theoretical standpoint and a practical standpoint. In many sectors of economy, the actual products produced and the targeted quantities do not coincide. Commonly, random variables are used to model yield uncertainty. However, the models with random yields have a known drawback. When the number of firms greater than three, the expected firm’s profit first increases when level of uncertainty (i.e.,variance of a random variable) increases and then decreases. When the number of firms no greater than three, there is no that drawback, the expected firm’s profit always decreases when level of uncertainty increases. In this paper, fuzzy sets are used for the first time to model Cournot competition in the presence of yield uncertainty. This article deals both with Cournot oligo­poly with fuzzy yields and Cournot oligopoly with fuzzy random yields. In the fuzzy random approach, probabilistic methods and fuzzy methods are combined. In this paper, equilibrium quantities and expected firms’ profits are found. For models with fuzzy yield, the drawback mentioned above is absent. For any number of firms, expected profit of a firm decreases when level of uncertainty increases. Also, in the fuzzy random approach, Cournot duopoly in which one firm is overconfident is studied. That firm forecasts the quantity produced unreasonably accurately. For this case, equilibrium quantities and expected firms’ profits are also presented in the paper.

This paper proposes a model of overlapping generations with heterogeneous preferences and higher education sector for a representative country where the Unified State Examination (USE) is taken. Unlike other models that study the accumulation of human capital based on the assumption of homogeneity of the parameters of individuals' preferences, in the proposed model heterogeneity is introduced when describing the abilities of individuals, approximated by Unified State Exam scores, risk aversion and intertemporal discounting under conditions of uncertainty. The purpose of this work is to develop and construct a model on which a methodology for as ses-sing strategies (rather than specific options) for the development of the education system can be based in the ideology of general equilibrium models. This article has developed an apparatus for analyzing strategies for the development of the education sector, which can be refined and finalized to analyze specific detailed options for transformations in the field of education.