Peresetsky A.A. (Moscow)
Deposit interest rates in the Russian banks, market discipline and deposit insurance system
The paper studies the Russian banks' private deposit interest rates over the period of 2002-2005. The author finds that Russian depositors discipline banks, requiring high deposit interest rates from the banks with risky financial policy. Introduction of the deposit insurance system increases the risk of the whole Russian banking system.
Danilov-Danilijan V.I., Khranovich I.L. (Moscow)
Production functions in uncertainty
An approach to the construction of production functions for describing the system's functioning in uncertainty has been suggested. This approach is based on the conceptions and methods of water resources management. The proposed production functions include as arguments not only variables of state but the marks to values of some variables. These marks can be interpreted as indices of indicative plan, prognosis, contract's parameters, etc. The production functions are used for constructing the optimization planning model. The use of such models for estimating of reliability, risks, and chances has been shown.
Akayev A.A. (Moscow)
Analysis of economic cycles using the mathematical model of the flow of random
The first attempt to give mathematic interpretation to the theory of business cycles was made by Y.Schumpeter using Markov's model of random processes related to reproduction and death. Evident solutions were received, as they describe the dynamics of development and recession of economic activities caused by technological shocks. The model's stability was shown when a random number of casual shocks influenced the proposal. Curves of cyclic variations of economic activities were built.
Manevich V.Ye. (Moscow)
The evolution of the disequilibrium analysis
Author analyzes development of the market disequilibrium analysis in the works of Marshall, Hicks, Pa-tinkin, Clower and others economists; investigates contradictions of disequilibrium analysis, and suggests the ways of its solutions. Author concludes that disequilibrium analysis does not contradict the neoclassical microeconomics and does not require its total reconstruction. However, it requires modifications of apparatus of microanalysis to solve the tasks of macroeconomics. It is necessary to explicitly introduce the combined price level, the income effects, and distribution effects in the Keynesian general demand and general supply functions.
Yersov Ye.B. (Moscow)
The theory of beaks and modeling
We consider sets in finite-dimensional real space, which have points with minimal or maximal coordinates in this space, called mini- and maxi-beaks. Sufficient conditions of beaks existence are formulated and proved. The systems of inequalities, which specify such sets, consist of decreasing or increasing functions of all (but one) the arguments. The optimization problem with increasing and decreasing criteria within the beak-sets is identical to the problem of determination of the characteristic beaks. The concept of generalized beak of a set, which is based on the specified quasi-order structure, is introduced and the sufficient condition of its existence is examined in the paper. We consider the dependence of beak coordinates of the parameters, which specify the families of sets, and the relation of beaks and the solutions of the corresponding systems of equations. The general scheme of construction of the beak-sets, which are closed with regard to the introduced binary operations of coordinate-wise minimization and maximization (these could also be used for the specification of the corresponding sets), is proposed.
Gasanov I.I., Yerezhko F.I. (Moscow)
Pareto set construction for the model of hedging an asset by the options
The multiple-criteria problem, which arises for the insuring (hedging) future incomes in the sale operations of some asset by means of options, is considered. The effective procedure of the Pareto set finding for three criteria concerning with the risk estimation by the VaR-method is offered for a wide class of functions. The analysis of Pareto set features is fulfilled. The graphic representation of the Pareto-set projection on one of a coordinate surfacer is given.
Kabanova I.A., Staroverov O.V. (Moscow)
The use of the boot-strep method for restoration of matrix of transit
The method of restoration of matrix of transit of employees in different industrial groups is proposed. The prognosis are given without data on the transits of employees between the groups. The authors have data only on the structure of employment in the groups for some number of consequent moments. The numerical example is given, based on the real data, for verifying the prognostic possibilities.
Kokhanenko I.K. (Rostov-na-Donu)
Fractal topology and the dynamics of economic systems
The possibilities of using fractal mathematics for an estimation of trends stability in economic systems are studied. The sufficient condition of persistence of fractals is demonstrated, the ratio for definition of cycle time persistence is introduced. The connection of fractal topology of systems with their dynamics is substantiated. The application of the obtained theoretical outcomes to the analysis of the budget is described.
Goldenberg A.I. (Moscow)
The multifactor model of stimulating the economic activities
The author describes the method of multiplicative connection of the weighted specific indicators into the integrated one. Describes the effective multifactor system of wages and salaries, shows the differentiations of the tax rates - socially and economically grounded.
Gives the methodological basis and procedures of identifying the weights of the integrated specific indicators based on the modification of the main components, called "two-aspects polarized weighting".
Livschits V.N. (Moscow)
Enigmas of the today's Russian economy and its government regulation policy
The author studies the role of the state as a regulator of the transitional Russian economy. Introduces the notions of the politics of a "strong" and "weak" state, that have different goals: the politics of a "strong" state is directed to satisfy the interests of the most part of the population, as for a "weak" one - the interests of a small elite group. It is emphasized that in the period of radical changes, particularly in 1990-s, there was a policy of a "weak" state.
Analyses the reasons for such a policy and the measures, necessary to turn to the economy of a "strong" state.
Tsurikov V.I. (Kostroma)
A model of rational behavior of a taxpayer
An economic-mathematical model built to simulate behavior of a taxpayer maximizing his gain by choosing the scale of tax evasion. It helped to establish a relation between the average tax rate, tax sanctions and other tax evasion costs, on the one hand, and incentives of the economic agent, public wealth and corruption, on the other.
Gluschenko K.P. (Novosibirsk)
Impact of organized crime on inter-regional variability of prices
The impact of organized crime on inter-regional price dispersion is estimated for every year from 1992 to 2000, and over the panel of 1993-2000, using a sample of 70 Russian regions, and that of 50 regions from the European part of Russia. The relationship between prices and crime is, for the most part, statistically significant and positive. Organized crime considerably contributes to the average cross-region price dispersion. However, the effect of organized crime is weakening over time.
Trofimov G.J. (Moscow)
Milton Friedman - the scientist and ideologist
Milton Friedman has recently gone. He was one of the most influential economists of the XX century. Friedman accumulated the qualities of the outstanding scientist and the ideologists of liberalism. His longstanding activity as a scientist and ideologist of liberalism had a major impact on economic policy in many countries. In this respect Friedman is comparable with John M.Keynes, whom he radically opposed his estimation of economic role of the state. Rephrasing the Friedman's own words about Keynes R.Barro has recently claimed: "We are all now the Friedmanians".
Creindel V.M. (Moscow)
Inflation and the regional budget deficit - is there a correlation?
The author investigates several parameters characterizing the economic situation in the Russian Federation in 2001-2005. Using the empirical data he proves the hypotheses about the correlation between the regional inflation rates and the parameters of regional budget. The author formulates some patterns specifying the period. Gives the estimates of stationary qualities of the parameters.
Klochkov V.V., Sazonov D.I. (Moscow)
The methods of analysis of the adaptivity of the production programs and the organized unites of the enterprises (the example of air fleet and aero construction)
The authors propose the integrated indicator of adaptivity of the production systems, as well as its graphic interpretation. The examples are given from different brunches of industry.
Yershov E.B. (Moscow)
Interindustry models and the beaks' theory
It is shown that to balance and optimize, the static and dynamic interindustry models the sets of their admissible decisions in the accepted conditions contain the special decisions called the beaks. The author uses the definitions and affirmations from Yershov, 2002, 2007.
Arkin V.I., Slastnikov A.D. (Moscow)
Theory of investment expectations, investment incentives, and tax reforms
Within the framework of the theory of investment expectations, we investigate models of investor's behavior in the real industrial sector under risk and uncertainty. These models particularly take into account the Russian system of corporate taxation. The article studies the influence of various factors on investor's behavior, among which the phenomena related to the creation of new enterprises (such as for example delay or absence of investment). These models also allows to analyze the economic effects of tax innovations. We study a number of the fiscal mechanisms of investment attraction: tax holidays, cuts in the tax rates, accelerated depreciation. Special attention is paid to the modeling analysis of Russian tax reforms in 2002-2005 and to their influence on the change in investment climate.
Rogachev Al.Yu., Rogachev An.Yu. (Moscow)
Market analyses using the cointegration theory
In analysis of macroeconomic data the scholar observes some problems related to a presence of a non-stationary series or time series with a trend component. The classic well accepted method of time series analyses is done by Box-Jenkins. But the last researches present even more interesting and appropriate technique of analysis compared to Box-Jenkins's method. It is called cointegration theory. In this paper we examine Johansen's method for cointegration dimension finding. We also give an example of using this method in financial market analyses. The authors' point of view is to resolve a problem of eigenvalues and find appropriate eigenvectors which the analyses is based on.
Alibekov B.I. (Mahachkala)
Two-side iterative process of definition of the approximate optimum decision of a task of allocation with the limited capacities
The multiextreme task of allocation with nonlinear function of the purpose and linear restrictions is considered. Convex upwards initial function of the purpose is replaced with piece-linear function, and the initial task is reduced to a partially integer-approached task. For the decision, the author offers a two-side iterative method of definition of the plan close to the optimum. On each iteration, the transport tasks are solved, and the local optimum decision of an initial task is defined. Using the received locally optimum decision of the approached task is carried out until coordinate two sides narrowing of area of the acceptable decisions of an initial task. Using the received optimum decisions of a task of allocation with the limited capacities, the area of the acceptable decisions of a task of allocation with restrictions on capacity in alternative production is narrowed. The plan belonging to new area giving a minimum of criterion function of an initial task is defined. The value of the criterion functions appropriate to the received decision is estimated from below. The description of algorithm of the decision of a task of allocation and analysis of efficiency of a method on experimental accounts is resulted.
Bagrinovsky K.A., Bendikov M.A. (Moscow)
Modeling and analysis of the mechanisms of innovative development
The aim of the article is to systematically describe the mechanisms of innovative development in the present Russian economy and analyze its parameters with the methods of mathematical modeling. The parameters of mechanisms were analyzed with the assumption of quick change of the final demand, renovation of the production capital and the technologies. The role of the so called "lean" production mentality to booster the economic effectiveness is emphasized.
Pitelin A.K. (Moscow)
Interbranch simulation model of the Russian economy
A new version of an interbranch simulation model of the Russian economy is presented. The information basis is an interbranch transactions spread-sheet containing 24 product positions. Financial flows are formed on the base of official statistics. A number of methods for price-formation are provided, they are used concerning the market situation. The imported products are divided into competitive and technological. The tight correlation between exchange rates and inflation is eliminated.
Shelekhov A.M. (Moscow)
About the stable conditions for mortgage cooperative society
The cooperative mortgage simulation model has been generated. It has been proved that a cooperative society is capable of stable and efficient functioning only if the start-up capital is about 50%, i.e. the member of a cooperative gets the loan covering half of the amount needed. In this case, a cooperative society does not degenerate into the economic "bubble" (pyramid).
Peresetsky A.A. (Moscow)
Probability default models for the banks
The paper presents the results of an econometric analysis of the Russian banks' defaults during the period of 1997-2003, focusing on the extent to which publicly available information from quarterly banks' balance sheets is useful in predicting future banks' defaults. Binary choice models are estimated to construct the probability of default model. We find that preliminary expert clustering or automatic clustering improves the predictive power of the models and incorporation of macrovariables into the models is useful. Heuristic criteria are suggested to help compare model performance from the perspectives of investors or banks supervision authorities. Russian banking system trends after the crisis 1998 are analyzed with rolling regressions.
Kondrashin S.V. (Moscow)
Economic model of multi-period principal-agents interaction with different risk-taking
This author describes an economic model of multi-period principal-agents interaction (Arrow, 1985; Coase, 1937) where different agents have varying propensity to risk-taking. Modeling shows how the principal's optimal strategy changes depending on the agent type, length of interaction, discount factor and other parameters. Model differs from standard classical principal-agent problem, which prescribes the use of motivating contracts in all periods of interaction and for all agents.
Aristov S.A. (Chelyabinsk)
Development and use of multifunction simulation systems help making a decision for enterprise management
The issue is simulation modeling in theoretical research of economic system of enterprise and its management. The reasons of absence of simulation modeling ideology in making a management decision are analyzed. The simulation systems helping to make a decision are classified in order to attribute them with the multifunctional features. The peculiarities of making decisions on the planning tasks, strategy and investments are specified. The structure of multifunctional simulation system helping to make a decision is described.
Mishin S.P. (Moscow)
Optimal hierarchies of control in economic systems
One of the major problems in economics is the construction of the effective hierarchical structures providing the control and run of the economic systems with minimum costs. The author proposes the mathematical model for optimizing the hierarchy of control. The expenses function is examined, given for a set of hierarchies, including not only the branches, but the more complex structures with many more levels. Solves the task of constracting the optimal hierarchy for different classes of the expenses' function. Gives the examples of expenses' functions for several classes of relations between the managers and the subordinates.
Kolmakov I.B. (Moscow)
Methods of the optimal distribution of the transfers
New methods applied for solving the optimization problem to transfers distribution proposed. These methods are worked out to get analytical solution for two sets of criteria. Different approaches to estimate the region budget conditions are equipped with graphic illustrations. For illustrative purposes, the character of optimum decision is proved for one of the criteria. New system of criteria synthesis is described for the given criteria of distribution. The new methods for estimating the optimum distribution for optimized vector of residual demand based on various criteria, including social fair resources distribution are presented as well.
Belenky V.Z. (Moscow)
General form of criterion in Bellmanic economic dynamics models
Provides the general expression describing a criterion for a class dynamic time homogeneous recursive models (called Bellmanic models). To construct the models of economic development for this class there is no other criterion besides three well known ones: 1) terminal criterion, 2) integral discount criterion, 3) maximin criterion by Rawls.
Golshtein Ye.G. (Moscow)
The saddle method using the imperfect input data
Describes the Oracle-type of finding the saddle point for convex-concave function considering mistakes in Oracle answers. The parameters of Oracle mistakes are described. Using these parameters the method allows to find -saddle point of the function with the fixed > 0. The author proposes the upper limit for the number of integrations, necessary for calculating the -saddle point.
Ovsijenko Yu.V. (Moscow)
Russia and USSR: institutional dynamics and income polarization
The author explains why during the last 15 years Russian economy could not reach the level of the RSFSR, but has only created two classes - the poor and the rich. Gives the basic reason for that: the government had designed and carried out the institutional changes without national approval. That is why it turned out to be monopolist instead of market economy. The authoritative system has been renewed, it is different from the soviet only in relocation of the incomes from the poor to the rich, the corruption has become total, the economic effectiveness of production has declined, a bureaucratic caste has become hereditary etc. The new institutions, created in the XXI century, fix these changes.
Polterovich V.M., Starkov O.Yu. (Moscow)
A Strategy for Building Mortgage Market in Russia
We develop a strategy for building mass mortgage financing in Russia based on the transplantation of a modified institution of Contractual Savings for Housing (CSH) and on the control upon its evolution. Rationality of the proposed decision is justified by analysis of mortgage institutions development in advanced economies, comparisons of results achieved by East European countries and Russia, as well as modeling calculations. We show that state premium on savings in CSH is a more efficient way to subsidize the purchase of housing than subsidies of down payments in banks.
Ovsijenko Yu.V., Bisarkina Ye.N., Sukhova N.N. (Moscow)
Stable Development: the Concept and Strategic Guidelines
The article gives the analysis of stable development. The ideas of concept, definitions of the targets and institutional prerequisites for the transition to this mode of development are discussed. The authors investigate the problems of economic, ecological, political and institutional balance, and their interrelations. Explains the need for the conditions providing the transition to symbiosis of man with the nature — the fundamental principle of stable development.
Reveals the mail element determining the character and tempo of the transition to the stable development - knowledge and its creator - the science. Displays the obstacles to the Russia's transition - its present social system.