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

  • Andreev, M.

    (Computing Centre, Moscow, Russia)

  • Pil'nik, N.

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

  • Pospelov, I.

    (Computing Centre, Moscow, Russia)

Registered author(s):

    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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    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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    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. 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.
    3. Charles Goodhart & Pojanart Sunirand & Dimitrios Tsomocos, 2006. "A Time Series Analysis of Financial Fragility in the UK Banking System," Annals of Finance, Springer, vol. 2(1), pages 1-21, January.
    4. Carlos Gustavo Machicado, 2006. "Liquidity Shocks and the Dollarization of a Banking System," Development Research Working Paper Series 09/2006, Institute for Advanced Development Studies.
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