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

Author

Listed:
  • Andreev, M.

    (Computing Centre, Moscow, Russia)

  • Pil'nik, N.

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

  • Pospelov, I.

    (Computing Centre, Moscow, Russia)

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.

Suggested Citation

  • Andreev, M. & Pil'nik, N. & Pospelov, I., 2009. "Rational Expectation Model of Modern Russian Banking System and the Strong Turnpike Property," Journal of the New Economic Association, New Economic Association, issue 3-4, pages 72-96.
  • Handle: RePEc:nea:journl:y:2009:i:3-4:p:72-96
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    References listed on IDEAS

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    1. Пильник Н. П. & Поспелов И. Г., 2007. "О Естественных Терминальных Условиях В Моделях Межвременного Равновесия," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 11(1), pages 3-34.
    2. Андреев М. Ю. & Пильник Н. П. & Поспелов И. Г., 2009. "Моделирование Деятельности Современной Российской Банковской Системы," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 13(2), pages 143-171.
    3. Diaz-Gimenez, Javier & Prescott, Edward C. & Fitzgerald, Terry & Alvarez, Fernando, 1992. "Banking in computable general equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 533-559.
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    5. Monique Florenzano & Stella Kanellopoulou & Yiannis Vailakis, 2006. "Equilibrium of incomplete markets with money and intermediate banking system," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00112209, HAL.
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    7. Дмитриев А. С. & Шугаль Н. Б., 2006. "Макроэкономическое Моделирование Взаимосвязей Реального И Денежного Секторов Российской Экономики (Часть 1)," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 10(2), pages 243-266.
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    More about this item

    Keywords

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

    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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