Rational Expectation Model of Modern Russian Banking System and the Strong Turnpike Property
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.
Volume (Year): (2009)
Issue (Month): 3-4 ()
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