Rational Expectation Model of Modern Russian Banking System and the Strong Turnpike Property
AbstractAn econometric analysis of modern Russian banking system is carried out. A set of discovered relations was used as constraints in a mathematical model of banking system under the assumption of rational expectation (perfect foresight) of agents. A strong turnpike property is found: agents' optimal equilibrium plans are independent of the future information variables. The turnpike property allows reduction of bank's boundary problem to dynamic problem.
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Bibliographic InfoArticle provided by New Economic Association in its journal Journal of the New Economic Association.
Volume (Year): (2009)
Issue (Month): 3-4 ()
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banking system of Russia; general equilibrium model; rational expectation;
Find related papers by JEL classification:
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
- D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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