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Rational Expectation Model of Modern Russian Banking System and the Strong Turnpike Property

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Author Info

  • Andreev, M.

    (Computing Centre, Moscow, Russia)

  • Pil'nik, N.

    (State University - Higher School of Economics, Mîscow, Russia)

  • Pospelov, I.

    (Computing Centre, Moscow, Russia)

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    Abstract

    An 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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    File URL: http://www.econorus.org/repec/journl/2009-3-4-72-96r.pdf
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    Bibliographic Info

    Article provided by New Economic Association in its journal Journal of the New Economic Association.

    Volume (Year): (2009)
    Issue (Month): 3-4 ()
    Pages: 72-96

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    Handle: RePEc:nea:journl:y:2009:i:3-4:p:72-96

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    Keywords: banking system of Russia; general equilibrium model; rational expectation;

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    1. Monique Florenzano & Stella Kanellopoulou & Yannis Vailakis, 2006. "Equilibrium of incomplete markets with money and intermediate banking system," Cahiers de la Maison des Sciences Economiques b06068, Université Panthéon-Sorbonne (Paris 1).
    2. Dimitrios P Tsomocos, 2004. "A Time Series Analysis of Financial Fragility in the UK Banking System," Economics Series Working Papers 2004-FE-18, University of Oxford, Department of Economics.
    3. Machicado, Carlos Gustavo, 2008. "Liquidity shocks and the dollarization of a banking system," Journal of Macroeconomics, Elsevier, vol. 30(1), pages 369-381, March.
    4. Javier Diaz-Gimenez & Edward C. Prescott & Terry Fitzgerald & Fernando Alvarez, 1992. "Banking in computable general equilibrium economies," Staff Report 153, Federal Reserve Bank of Minneapolis.
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