2024. vol. 28. No. 3

The unprecedented liquidity issuance trigged by the "COVID-19" pandemic has drastically altered behavior of the money and debt markets participants including their interactions with monetary and macroprudential regulators. The global financialization aspects that dictated cohe­rent monetary and debt processes were investigated by modelling the forced harmonic oscillator.

The model demonstrated that the macrodebt index dynamics followed the second-order ordinary differential equation (ODE) which elucidated how creditors were compensated for ex­pected losses due to the aggregate debt growth. The liquidity and debt interference gave rise to their cyclic fluctuations alternatively visualized through their phasor rotation in the complex pla­ne. Oscillations and rotation of money and debt indices provided insights into various facets of a macro-financial cycle encompassing critical phenomena such as resonance or financial crises.

The money creation process adhering to macro-financial theory has been modeled as an "instantaneous" impulse by the Dirac delta function. It enabled the calculation of the debt market fundamental response to monetary shocks represented by the Green's function. The convolution of the latter with the money/debt system driver yielded a solution to the oscillator's ODE, thus accommodating various monetary and macroprudential influences, not necessarily periodic in nature.

The proposed model uncovered causal links of the stimulus-reaction type that are prevalent in contemporary money and debt markets. It elucidated the paradox of "unlimited" money issuance by banks and aligned with I. Fisher's scenarios of cyclic money/debt development. The oscillator model behavior underscored inertia in debt repayments as a contributing factor to the macrofinancial stabilization costs. Numerical simulations of the model effectively replicated the global debt market reaction to the actions of leading central banks during the 2020 finan cial crisis.

One of the key techniques in the fixed-income portfolio management is immunization which involves a managed change in the portfolio value under interest rate fluctuations given a similar pattern in a portfolio of liabilities. Since the classic work by Redington, scholars have de­veloped a variety of immunization models. Yet, these models are built on restrictive assumptions that a stream of liabilities is constrained to a single payment while the yield curve and/or its possible shift have a certain shape (a flat yield curve and a parallel shift, respectively, in early works). In their previous paper, the authors obtained a solution to the optimal immunization problem for the case when a stream of liabilities and the shape of and a shift in the yield curve are of arbit­rary structure. In this paper, the results are first generalized to the case when the present values of the streams of assets and liabilities are not equalized. The optimization problem is formulated as an unbalanced optimal transport problem. The authors have developed an algorithm for constructing an optimal immunization portfolio which is practically feasible and has a straightforward financial interpretation. The solution is based on the proximity measure between payment streams, which is known by multiple terms (Earth Mover's Distance, the Wasserstein distance, the Monge-Kantorovich metric) and is widely used in modern machine learning. Additionally, the authors have established a set of relationships that relate the Wasserstein distance between payment streams to their Fischer-Weil durations.

The article examines the macroeconomic effects of financial repression in a small open eco­nomy dependent on oil exports. The author examines the impact of financial repression (in the form of the interest rate ceiling on loans to producers) on macro variables, especially inflation, assuming that the result of the policy of repression by the fiscal authority may depend on the channel of its implementation. The author builds a DSGE model of a small open economy depen­dent on the oil export, with incorporation of financial repression in the form of providing individual producers with access to loans at a subsidized interest rate. The work analyzes several experiments at once. The first experiment analyzes the effects of a permanent shock of financial repression (giving additional loans at a reduced interest rate to selected domestic producers of intermediate goods). The second experiment compares the effect of an oil price shock on two economies: one has already experienced a permanent shock of preferential lending, and the eco­nomy has moved to a new long-term equilibrium, while the second has no preferential lending. Particular attention in both experiments is paid to the response of inflation. Using a version of the model calibrated for the economy of Kazakhstan, it was demonstrated that financial repression in the form of providing preferential loans to some domestic producers at a reduced interest rate does not clearly increase the level of volatility of macroeconomic variables in response to an oil price shock. The results of the current model showed that the volatility and overall response of inflation, aggregate output, and consumption after an oil price shock in the model with the specified form of financial repression is lower than in the model without repression. Based on these results and considering the conclusions of the work [Pak, Pekarski, 2022], where an other mechanism of financial repression was considered, it is concluded that when a central bank in a small resource-based economy carries out monetary policy, the very channel of financial repression in the form of preferential lending turns out to be important.

This study is devoted to analyzing the nature of the influence of a number of internal and external factors on the effectiveness of Russian insurance companies that demonstrate excellent financial results, taking into account the location of their head office. Return on assets (ROA) is considered as a measure of efficiency. The authors do not pretend to the comprehensive nature of the results obtained and note their close relationship with the characteristics of the external economic environment.

The analysis includes indicators whose values are available for management by the financial management of the company. Thus, the results obtained can be used to solve the problem of profitability management. The purpose of the study is to describe possible ROA management mechanisms, taking into account regional specifics.

The study included two groups of insurance companies for insurance other than life insurance – "metropolitan" with head office in Moscow or St. Petersburg and "regional", with head offices located in regional centers. For these groups, models of the statistical relationship between the value of return on assets and the values of a number of indicators traditionally taken into account when studying the problems of managing the profitability of the insurance business were built. To build models, samples were formed based on the annual reporting for the period from 2017 to 2020 (SPARK) of the group of leaders in terms of insurance premiums of the Expert RA rating agency based on the results of 2020.

The specification of models for "metropolitan" and "regional" companies was carried out taking into account the possible nonlinear nature of the statistical relationship of explanatory indicators with the ROA indicator based on the MFP algorithm. As a result of the construction and optimization of models for a number of indicators, a nonlinear form of their entry into the model was identified, which is useful for making financial decisions.

The result of the study was the conclusion about significantly different possible mechanisms of profitability management for "metropolitan" and "regional" companies. If financial mana­gement plays an important role in this process for "metropolitan" insurance companies – mana­ging the structure of assets and liabilities, then for "regional" companies the determining factor is their specialization in certain types of insurance.

The paper identifies and examines in a global context the main features of the budgetary system of the Russian Federation in terms of the structure of the tax burden, distribution of tax revenues, tax autonomy, vertical imbalance and the use of tax sharing rates. The analysis is based on data from the Federal Treasury, the Federal Tax Service of Russia, the International Monetary Fund (IMF), the Organization for Economic Cooperation and Development (OECD) and the United Cities and Local Governments (UCLG) organization. The study is characterized by the breadth of the subject and sources of information, analysis of qualitative indicators of fiscal systems and their quantitative criteria at several tiers of interbudgetary relations, accounting of rental revenues and insurance payments, as well as the assessment of inconsistencies in methodologies and tax statistics in Russia, other countries and international organizations. It is shown that Russia has developed a unique model of fiscal federalism. On the one hand, it is close to the model of Austria and partly Indonesia and South Africa – with low tax independence, poorly developed tax sharing rates and high imbalance at the intraregional level. On the other hand, it has the features of developed federations – with a significant level of decentralization and vertical balance at the federal level. However, the assessment of decentralization in Russia may be overestimated by high rental revenues, which usually refers to non-tax revenues. It has been established that the developed extractive sector in Russia makes it possible to reduce the tax burden on the main factors of production. In addition, a parity in the three main types of taxes – on income, labor and goods and services – indicates that the tax burden in Russia is not only small by world standards, but also balanced. A small and declining volume of tax revenues at the level of local budgets has been revealed, and the gap from developed federations in this aspect, and even from Brazil, is increasing. For the first time, it is formulated that it is impossible for s fiscal system to have simultaneously high levels of all three main indicators – vertical imbalance, tax independence at the subnational level and the scale of use of tax sharing rates.

The decade of expansionary monetary policy and tough financial regulation after the global financial crisis reduced the profitability of the banking sector, but at the same time it significantly increased its financial stability. The COVID-19 pandemic has become a stress for banks, but liquidity support measures and extra-dovish monetary policy of central banks in developed countries have severely limited the negative effects on the banking sector.

The tightening of the Fed's monetary policy as part of the fight with inflation became one of the key factors of the banking crisis of 2023. During this crisis three large banks with a record amount of assets of $ 550 billion went bankrupt. The mechanism of the crisis of 2023 was similar to the crisis of savings and loan associations in the United States in the 1980s and had a classic pattern of development under increasing interest rates. The scale of the banking crisis turned out to be limited due to financial regulation measures introduced in 2009–2019, as well as due to the prompt response of regulators – liquidity support programs and full coverage of deposits of bankrupt banks.

Some banks are more susceptible to bank runs in such conditions. The business models of the collapsed banks had common features – large corporate clients, a high share of securities in assets. In this research we conduct a cluster analysis of banks. It allows us to identify five business models inherent in American commercial banks. The features of the identified business models, changes in the dynamics of indicators, and exposure to risks during the crises of 2007–2008 and 2023 are analyzed. The business model that is most exposed to today's risks of increased interest rates is also highlighted – a classic model with an emphasis on loans and a high proportion of uninsured deposits; all bankrupt banks belong to this cluster.