Сборник ВКР 2012

2012

330.1(08)
6543
23
2012 [ ] /
23 . . - , - ; .
. ... . . . (16,1 ). .: .
, 2013. ISBN 978-5-7598-1045-2.
,

2012 .
.
, .
330.1(08)
6543
ISBN 978-5-7598-1045-2
.

, 2013

..

, .......................... 5
..
:
19952008..........................................................................32
..
....................55
..

..............76
..

.................................107
..

...................127
..

RLMS......................................170
..

.................195
..

: .......................217
..

...........................239
..

....................261
..
........................................291
..

: ...........314
..
robo-signing

................................................338
..

..................365
..

.............................................396
..

.......................................................................415
..
:
............................................435
..
VaR-
GARCH- EMA-............................459
.. C
:
................................481
..

.....................................502
..

................................................541
..
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2009 ., :
(World Development Indicators), (International Financial Statistics), (UN Comtrade).
, (, , ) 2000 .

.
109 , 26 .
, 20%.
1.
reserves 31 .
(fuelexport), : (GDP)
(propensity),
.
,
(
1):
vk1 ;
vk2 ( );
vk3 .
, ,
.

,
.
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lnreservesi = + 1 lnGDPi + 2 fuelexporti +
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i .
. 1.
,
, ,
. , 20002005 .,
( 10%).
, ,
,

.
.
,
, 2000 2009, 20002004 20042005.
( . 2). ,
10
11
p-value
p-value
p-value
p-value
p-value
p-value
Shapiro Wilk
(p-value)
vk2
vk1
fuelexport
propensity
lnGDP
0,039
0,105
0,061
0,043
0,056
0,861
0,423
0,098
0,338
0,097
0,845
0,257
0,021
0,514
0,216
0,129
0,844
0,259
0,001
0,720
0,093
0,392
0,117
0,828
0,233
0,001
0,822
0,039
0,518
0,124
0,004
0,055
0,816
0,322
0,001
0,845
0,048
0,505
0,098
0,005
0,072
0,815
0,206
0,000
1,052
0,006
0,724
0,103
0,006
0,480
0,178
0,831
0,039
0,000
1,145
0,001
0,816
0,075
0,005
0,450
0,248
0,887
0,005
0,685
0,099
0,004
0,612
0,195
0,000
0,973
0,730
0,000
0,452
0,001
0,003
0,000
0,470
0,000
0,964
0,275
0,831
0,180
0,012
0,836
0,845
0,453
0,338
0,595
0,288
0,241
0,003
0,323
0,249
0,000
0,996
2009
0,857
0,482
0,669
0,116
0,239
0,004
0,228
0,335
0,000
0,961
2008
0,000
0,164
0,095
0,546
0,002
0,100
0,410
0,000
0,946
2007
0,299
0,813
0,653
0,064
0,538
0,000
0,951
2006
0,394
0,001
0,001
0,076
0,665
0,000
0,947
2005
1,853
0,106
0,066
0,606
0,000
0,950
2004
1,057 1,328 0,962 1,457 1,425 1,605 1,382 1,805 2,894 1,868
0,576
0,602
0,000
0,935
2003
0,000
0,000
2002
0,000
0,946
0,000
2001
0,934
2000
1.
20002009 .

, . , ,
. , 2000
2009., , 20002004 20052009 ., .
2.

p-value
2000 2001
0,068
0,999
2001 2002
0,301
0,936
2002 2003
0,174
0,984
2003 2004
0,111
0,995
2004 2005
0,080
0,998
2005 2006
0,078
0,998
2006 2007
0,195
0,978
2007 2008
0,382
0,890
2008 2009
1,101
0,363
2000 2009
3,163
0,007
20002004 20052009
5,228
0,000
,
,
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12
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-,

, (1).

lnreservest = + 1 lnGDPt + 2 propensity + t .
(1)
-, , , ,
13
, , , , . , (2) (3)
t; ,
, , .

lnreservest = 0 + 1t + 2 lnGDPt + t ,
(2)
lnreservest = 0 + (1 + 2t )lnGDPt + t .
(3)
-, ,
, , (4) (5).
(4)
,
( ,
). (5) (4),
, ,
. C ,
, .
, C ,
. ,
C , . C,
, , R2.
, C [1; 4].

lnreservest = o + 1 f (t ) + 2 lnGDPt + t ,
(4)
1
.
t +
lnreservest = o + (1 f (t ) + 2 )lnGDPt + t ,
(5)
f (t ) =
f (t ) =
1
.
t +
14
, , 2006 .
20082009 . ,
, , , ,
,
2006 . , (6) (7).
, C [1; 4].

lnreservest = o + 1 f (t ) + 2 lnGDPt + t ,
0,
t 5
f (t ) =
.
1
1
t +C + 5 + ,t > 5
lnreservest = o + (1 f (t ) + 2 ) lnGDPt + t ,
0,
t 5
f (t ) =
.
1
1
t +C + 5 + ,t > 5
(6)
(7)
,
,
. , ,
R2.

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, R2 , ,
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15
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, , .

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16
3. (
)
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(2)(3)
(4)(5)
(6)(7)
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19

. 2.

gbp

gbp

gbp

gbp

gbp

gbp

. 3.
, 2005
2006 . .
. ,

2006 .1
, ,
.
1
Portfolio Management at ECB. European Central Bank. Monthly Bulletin. April 2006.
URL: http://www.ecb.int/pub/pdf/mobu/mb200604en.pdf
20
,
, ,
, , , ,
. ,
, , 20012002 . . , ,
.
,
(. 3).

lnreservest = 0 + (1 + 2t )lnGDPt + t
, (6)(7)

10 , , , , , , , ,
, . , ,
.
, , , ,
.
, ,
2005 .
. , .. , , .
, 10 2005 ., ,
. ?

21
(. 4), : ( ), , , ,
.
4.

, %
,
20002009 .,
.
19,44
21,69
22,11
23,97
24,64
26,46
28,84
37,27
40,83
43,64
51,37
53,23
56,83
64,27
64,29
65,80
66,04
66,16
76,92
84,60
86,63
87,33
88,61
89,76
93,27
97,36
24965,88
4640,87
534,61
588,40
23629,40
911,38
1848,54
1078,00
2799,58
1638,79
1511,17
683,62
2385,69
1885,29
39759,09
8810,05
31299,60
13688,51
4056,44
9931,00
1303,78
5052,82
32497,07
9286,63
564,24
2025,75
22

: ,
, , ,

. ,

, ,
.
, , .
R2 f(t) ,
. ,
- ,
,
. , , ,
, R2 p-value . ,
, , , , C. ,
, , 2005 .
.
lnreservest = 0 + (1 + 2t )lnGDPt + t
, , , .
,
. ( ) ,
,
-. ,
23
fuellnGDP,
-, , t lnGDP.
. 5.
5.
p-value
lnGDP
0,833
0,000
fuellngdp
0,020
0,004
T lngdp
0,003
0,000
propensity
0,485
0,036
vk1
0,125
0,670
vk2
0,148
0,660
1,315
0,309
_const
Wald (6) = 2239,01

2
Prob > 2 = 0,0000
, , , ,
0,003, 0,023. ,
,
, .
lnreservest = 0 + 1 lnGDPt + t
,
. ,
. : , ,
, . ,

24
, (. 7).
. fuelexpGDP, ,
, lnGDP. (. 68).
, ,
. ,
( ), ,

,
.
. ,
-
6.

P > |z|
lnGDP
1,135
0,000
fuelexpGDP
0,001
0,938
propensity
1,351
0,001
vk1
0,372
0,443
vk2
0,818
0,031
_const
6,348
0,000
Wald 2(5)
574,010
within
0,801
between
0,908
overall
0,897
25
-, ..
.
7.

P > |z|
lnGDP
0,542
0,000
fuelexpGDP
0,007
0,195
propensity
1,864
0,235
_const
9,443
0,001
Wald (3)
383,48
within
0,556
between
0,999
overall
0,937
8.

lnGDP
fuelexpGDP
P > |z|
1,27
0,00
0,03
0,07
propensity
0,90
0,01
vk1
0,42
0,30
vk2
0,33
0,30
_const
8,99
0,00
Wald 2(5)
765,37
within
0,82
between
0,98
overall
0,97
: -, , -
26
,
, . ,
.

, .
, .
, ,
, ,
, , , 20002009 .
,
. -, ,
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(, ), 2005 .,
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.
27

1. .M., .B., .C. , // . 2009. . 45. . 1529.
2. .M., .B., .C. , . .: . ,
2007.
3. Aizenman J., Lee J. International Reserves: Precautionary versus Mercantilist
Views, Theory and Evidence // Open Economies Review. 2007. Vol. 18. P. 191214.
4. Alexeev M., Conrad R. The Natural Resource Curse and Economic
Transition// Economic System. 2011. Vol. 35. P. 445461.
5. Atkinson G., Hamilton K. Savings, Growth and the Resource Curse
Hypothesis // World Development. 2003. Vol. 31. P. 17931807.
6. Auty R.M. Sustaining Development in Mineral Economies: The Resource
Curse Thesis. L.: Routledge, 1993.
7. Brunnschweiler C., Bulte E. The Resource Curse Revisited and Revised:
ATale of Paradoxes and Red Herrings // Journal of Environmental Economics and
Management. 2008. Vol. 55. P. 248264.
8. Bulte E.H., Damania R., Deacon R.T. Resource Intensity, Institutions and
Development // World Development. 2005. Vol. 33. P. 10291044.
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Resources: New Evidence Using a Heterogeneous Panel Analysis // The Quarterly
Review of Economics and Finance. 2011. Vol. 51. P. 305318.
10. Cho W.G., Sharma S., Stromqvist M. Net Capital Flows, Financial Integration,
and International Reserve Holdings: The Recent Experience of Emerging Markets
and Advanced Economies // IMF Staff Paper. 2009. Vol. 56. No. 3.
11. Dooley M.P., Folkerts-Landau D., Garber P. An Essay on the Revived Bretton
Woods System. NBER Working Paper No. 9971. 2003. URL: http://www.nber.org/
papers/w9971.pdf (last accessed February 10, 2012).
12. Frenkel J.A. International Liquidity and Monetary Control // lnternational
Money and Credit. International Monetary Fund, 1983.
13. Frenkel J.A. The Demand for International Reserves by Developed and LessDeveloped Countries // Economica. 1974. Vol. 41. P. 1424.
14. Heller H.R. Optimal International Reserves // Economic Journal. 1976.
Vol.76. P. 296311.
15. Lizondo J.S., Mathieson D.J. The Stability of the Demand for International
Reserves // Journal of International Money and Finance. 1987. Vol. 6. P. 251282.
16. Mehlum H., Moene K., Torvik R. Institutions and the Resource Curse // The
Economic Journal. 2006. Vol. 116. P. 120.
28
17. Rambaldi A.N., Hall G., Brown R.P.C. Re-testing the Resource Curse
Hypothesis Using Panel Data and an Improved Measure of Resource Intensity //
International Association of Agricultural Economists Conference, August 1218,
2006. Gold Coast, Australia, 2006.
18. Rodrik D. The Social Cost of Foreign Exchange Reserves // International
Economic Journal. 2006. Vol. 20. No. 3. P. 253266.
19. Sachs J.D., Warner A.M. Natural Resource Abundance and Economic
Growth. NBER Working Paper No. 5398. 1995. URL: http://www.nber.org/papers/
w5398.pdf (last accessed February 10, 2012).
29

1.
Reserves
(
) 31
(.)
International
Financial Statistics
and data files. IMF
GDP
(.)
Propensity
World Development
Indicators & Global
Development
Finance. World Bank
Fuelexport

(%)
UN Comtrade, SITC
Rev.3

vk1
(currency board),
(no
separate legal tender),

(other conventional fixed peg
arrangement)
vk2
(crawling peg),
(crawling band),
(managed floating)
vk3
C (independently
floating)
Annual Report
on Exchange
Arrangements
and Exchange
Restrictions. IMF.
2011
dummy_i
- i
lnGDP_i
, dummy_i
lnGDP
propens_i
, dummy_i
propens
fuel_i
, dummy_i
fuel
30
2. ,
.., 2013
..
C..

:
19952008

. , ,

.
, .
, .

, ,

, .

.
.

, ..
( 19771980 19901992, 19821984,
19901993, 19901994 .)
( 19831986, 19871989, -
32
19901994 .). ,
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:
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1 1995 . 1 2008 .
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: 1 , 2
. 3
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33
1. ,

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, .
,
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2. ,

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(19901993),
,
19 .

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( 70%),
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[8] . . , . , ,
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35
,

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19902000 ., , ,
[3]. , , . [13]
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19952008
3.1.

1995 . 2008 ., ( 164 ).
. , 1999 . ,
,
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. (
) .
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36
:
1, 2, 3, 4
(19952008 .),
5.
3.2.
.

[12], , .
, , ..
. ,
: 1993 . 2010 .,
.
,
( ) (
).
3.3.
, , .
.
.. [2] .. . [1]
1
http://www.gks.ru/
http://www.cbr.ru/
3
http://www.minfin.ru/
4
http://library.hse.ru/e-resources/HSE_economic_journal/
5
http://e3.prime-tass.ru/macro/
2
37
.
, [1; 2].
..
, , :
)t ,y
* n
#Y * & i , ! i =1Ti " % ( / 0G + X
$ Y ' /.
,
*
b =+
,
Y*
Ti i; X ;
G ; Y ; Y*
; ti, y
i- .
,

,
, .
, , , , . ,
, . [7], 28 , ,
19902009 . (
) , . :
, .
:
$Y '
ln Tt = !T + "T ln & t# ) + vt ,
% Yt (
( )
$Y '
ln E t = ! E + "E ln & t# ) + wt ,
% Yt (
( )
38
T ; E 6.
:
#Y &
ln (Tt ) = 0,06 !ln ( E t "1 ) + 0,86 ! ln ( E t "12 ) +1,38! ln % t* ( + wt " 0,7 !wt "12 ,
$ Yt '
#Y &
ln ( E t ) = 2,55 + 0,04 !ln ( E t "1 ) + 0,77 ! ln ( E t "12 ) +1,21! ln % t* ( + wt " 0,8!wt "12 .
$ Yt '
, , ,
1,38, 1,21.
.
,
, .
(
, ):
b =
"Y * %
T !$ '
#Y &
(t ,y
"Y * %
)!E ! $ '
#Y &
*
Y
(e ,y
+!X
T ; E
; X ; Y ; Y* (
); t,y e,y
, .
,
. .. [2]
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.
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6
39

qbbo
. 1.

, .
.
. 1.
, , .. (bt* bt*1 ) . (. 2).
. 1 2,
, 19972000 . 20032005 .
.
; ,

.
3.4.
, . , . . [8],
. .
40

q
. 2.
1. (
1,5 ).
2. ( 70%
).
3. (
4%
).
. ,
, .
1.

. . 1 .
, .
- D1 (D1 = 1 19992000 . 20042005 .).
41
1.
,
%
1996
1,52
1997
0,09
1998
0,84
1999
2,37
2000
5,73
2001
0,25
2002
2,23
2003
0,50
2004
3,44
2005
2,87
2006
1,14
2007
1,67
2008,
0,30
2.

. . 3.
,
70% 1998, 1999 2000 . , 19982000 . .
- D2 (D2 = 1 19982000 .).
3.
,
, .
(. 2).
, 19971999 . - D3 (D3 = 1
19971999 .).
42

qbbo
. 3.

2.

, %
1996
2,42
1997
8,20
1998
24,21
1999
8,73
2000
28,62
2001
16,74
2002
3,26
2003
2,07
2004
7,66
2005
2,94
2006
2,22
2007
4,04
2008
6,98
43
3.5.

. (
), .
(19982008 .).

, , [11; 3; 6; 4;
10] . :
, , (
), .

, .
3.5.1.
,
, , .
, X-12, .

, .

, - .
, , . , , .
, , ,
I(1), .. , .
, .
. 1998 . -
44
1998 . .

, 17 1998 .,
.
1998 . 2008 .
2002 . 2007 .,
(
13%, 24%,
7). -
D4 (D4 = 1 2002 . 2007 .).
, ( 1998 .),
. -, . 3.
3.
D1
D1 = 1 19992000 ., 2004
2005 .
D1 = 0
D2
D2 = 1 19982000 .
D2 = 0
D3
D3 = 1 19971999 .

D3 = 0

D4
D4 = 1 . 2002 . .
2007 .
D4 = 0
45
3.5.2.
:
t = 1 + 2 i + 3 it 1 + 4 t 1 + 5 log ( yt ) + 6 log ( yt 1 ) +
+ 1 log (taxt ) + 2 log (taxt 1 ) + 3 log(expent ) + 4 log(expent 1 ) +
+Dt (1 log (taxt ) + 2 log (taxt 1 ) + 3 log(expent ) + 4 log(expent 1 )).
ct , ;
log ( yt ) ;
log (taxt ) ;
log(expent ) ;
D -,
.

(5, 1, 3, 1, 3),
(6, 2, 4, 2, 4).
, . 4 . 5
.
, D = D1 (
), D = D2 (
), D = D3 (
) D = D4 ( ). : ***
1%- ; ** 5%- , * 10%-
.
46
47
I(1)
CONS(1)
CONS(12)
GDP
GDP(1)
TAX
TAX(1)
EXPEN
0,02*
0,0011
0,0114*
0,0088
0,05**
0,2941***
0,3204***
0,0696**
0,0637***
0,00147
0,0103
0,0013
0,0112*
0,0016
0,0413**
0,2663***
0,3096***
0,061***
0,056***
0,00129
D1
0,0108*
0,0016
0,0104
0,0113
0,0481**
0,2882**
0,3255***
0,0708**
0,065*
0,00133
D2
0,106
0,002
0,0101
0,0119
0,0476**
0,2961**
0,3149***
0,071**
0,063*
0,00134
D3
0,0169
0,0226*
0,0204*
0,0141
0,0407**
0,3042***
0,2443***
0,0637***
0,0595**
0,00137
D4
4.
48
0,3138
2,1474
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49
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.
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1. .. : , , . . . 9 -2020
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. 31.05.2011.
2. .. : // XIII
. , 35 . 2012 . .: .
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. 31.05.2011.
4. .. // X . . 1. .: .
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c. . 2002, 2004, 2007, 2010 .
12. .. // . 2010. 2(63).
.8587.
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, 2008. . 110128.
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2. ..
. . BSP/00/036 R.
.: , 2000.
3.
. .: ,
2002.
4. .. . . .:
, 2005.
5. .. . // .
2006. 4. . 638669.
6. (The Centre for Multilevel Modelling (CMM)) LEMMA
(Learning Environment for Multilevel Methodology and Applications).
7. Blonigen B.A. et al. FDI in Space: Spatial Autoregressive Relationships in
Foreign Direct Investment / B.A Blonigen., R.B. Davies, G.R. Waddell, H.T.Naughton//
European Economic Review. 2007. Vol. 51. P. 13031325.
8. Buccellato T., Santangelo F. Foreign Direct Investments Distribution in the
Russian Federation: Do Spatial Effects Matter? Economics Working Papers 99.
Centre for the Study of Economic and Social Change in Europe, UCL. L., UK, 2009.
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for Russian Regions. Working Paper No. 32. Department of Business and Economics, DP-32. University of Joensuu, 2006.
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12. .
(). , 2000. URL: http://
econom.nsu.ru/staff/chair_et/gluschenko/Research/Data/Distances.xls
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2011. 4. . 14.
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.., 2013
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, ,
. 35
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, . ,
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2) Ng ( . 3) , (. 4 3);
3)
(. 4).
4.

[0; 1)
[1; 3)
[3; max(Ng))*
[max(Ng); +)
* Max(Ng) 12 Ng.
3 , ,
. ,
137
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5.

Da, Ka, Lg, Nh, S, V
Db, Kb, L, Lb, Lf, Nb
Kc, Kf, Na, Nf, O, W
,
,
, Ng, Lc,

. .
138
2.
2.1.

,
,
.
, .
, ..
. , :
ai bj , ,
, , d, p q , .
, :
. , xt , :

(3.1)
(3.2)
(3.3)
xt, . , xt ,
, .
1.
,
.
, ,
139

. ,
:
(4.1)
(4.2)
a b , ,
+

.
(4.2) (4.1) (3.1), , :

(5)
,
,
, .

,
, .
, -
a+ a.
2.

,
:
(6.1)
(6.2)
(6.3)
, , , :
(7.1)
(7.2)
, , i
(7.1) (7.2), j, (6.2) (6.3).
140
, (7.2) (7.1) (3.1), :

(8)
,
, :
(9)

,
,
.
1:
2:
1.
2 ,
, ,
. .
:
, :

(10)
(10) :

141
(11)
2.2.
2.2.1.
, ,
, , 2.
: , , . , [1] (. 6).
6.

Liq = W + Kc + Kf
N = Na + Nh + Ng + Dg
L = La + Lh + Lf
S = Da + Df + Dh
Lc
Or

,
, .

, .
1. liq , .
2. N ,
,
, ( )
( ). , , (
) , N .
142
3. L S , ,
. ,
. , ,
.
4. Lc Or , ,
, . : 2007.
2010-
. , , .
2.2.2.

,

. , , Oitga
Oitgp . , , :

(12)
, , , .
2.2.2.1.
, -
143
dummy-, (. 7).
7.
Dummy
Oitga_s
Oitgp_s
Iitg_s
Oitga_n
Oitgp_n
Iitg_n
Oitga_l
Oitgp_l
Iitg_l
Oitga_or
Oitgp_or
Iitg_or
Oitga_lc
Oitgp_lc
Iitg_lc
, , ( ADF, , I(1), 4),

Wald-test. :
d(Oitga_liq) = 3,637 d(Oitga_s) + 4,328 d(Oitgp_s) + 0,501 d(Oitga_n) + 1,417 d(Oitgp_l) +
(t-stat)
(2,34)
(2,94)
(6,69)
(6,25)
+ 0,85 d(Oitgp_lc)
R2 = 0,959
(6,38)
d(Oitgp_liq) = 3,019 d(Oitga_s) + 3,658 d(Oitgp_s) + 0,492 d(Oitga_n) + 1,436 d(Oitgp_l)

(t-stat)
(1,94)
(2,47)
(6,35)
(6,31)
+ 0,857 d(Oitgp_lc)
R2 = 0,957
(6,41)
,
. , Engle Granger, -
144
.
1520%. , :
Oitga_liq = 10 669 192 018 2,672 Oitga_s + 4,162 Oitgp_s + 0,431 Oitga_n + 1,25 Oitgp_l + 0,639 Oitgp_lc
(t-stat)
(8,33)
(1,37)
(2,11)
(6,86)
(6,4)
(4,02)
Oitgp_liq = 10802060236 1,879 Oitga_s + 3,402 Oitgp_s + 0,428 Oitga_n + 1,244 Oitgp_l + 0,646 Oitgp_lc
(t-stat)
(8,51)
(0,97)
(1,74)
(6,89)
(6,43)
(4,11)
, , . , .
, [1],
, ,
. , ,
,
. , :

(Iitg_liq) = Oitga_liq Oitgp_liq = 1,33e8 0,793 Oitga_s +

+0,76Oitgp_s + 0,003 Oitga_n + 0,007 Oitgp_l 0,007 Oitgp_lc. (13)
( , ), :

(Iitg_liq) = 132 868 219 0,76 (Iitg_s).
(14)
, [1] .
, ,
. , . 5, ( )
. .
, ,

.
145
d

&
r
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0JUHQ
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&
&

. 5.
( ), ( ),
,
. , ( ) .
1. . , .
2. . ,
.
3. . ,
.
2.2.2.2.
: , .
( 1520%).
146
:
d(Oitga_w) = 1,599 d(Oitga_s) + 1,695 d(Oitgp_s) + 1,069 d(Oitga_n) 1,023 d(Oitgp_n) +
(t-stat)
(4,9)
(5,49)
(3,28)
(3,12)
+ 1,463 d(Iitg_n) + 0,122 d(Oitga_l) 0,684 d(Iitg_l) 0,073 d(Oitgp_lc),

(2,85)
(2,63)
(3,14)
(2,38)
d(Oitgp_w) = 1,8E + 08 1,498 d(Oitga_s) + 1,577 d(Oitgp_s) + 0,952 d(Oitga_n)

(t-stat)
(2,14)
(5,02)
(5,58)
(3,22)
0,912 d(Oitgp_n) + 1,301 d(Iitg_n) + 0,145 d(Oitga_l) 0,906 d(Iitg_l) 0,065 d(Oitgp_lc).
(3,07)
(2,76)
(3,31)
(3,7)
(2,31)
:
Oitga_w = 1330873852 1,612 Oitga_s + 1,777 Oitgp_s + 0,716 Oitga_n 0,6802 Oitgp_n+
(t-stat)
(4,16)
(4,02)
(4,76)
(1,90)
(1,79)
+ 0,2 Iitg_n + 0,108 Oitga_l + 0,07 Iitg_l 0,06 Oitgp_lc,

(0,55)
(3,00)
(0,75)
(1,73)
Oitgp_w = 1319994145 1,506 Oitga_s + 1,67 Oitgp_s + 0,713 Oitga_n 0,68 Oitgp_n +
(t-stat)
(4,36)
(3,96)
(4,72)
(2,02)
+ 0,218 Iitg_n + 0,103 Oitga_l + 0,076 Iitg_l 0,056 Oitgp_lc.

(0,63)
(3,02)
(0,84)
(1,69)
:
d(Oitga_kf) = 0,79 d(Oitgp_s) + 1,22 d(Oitgp_l),
(t-stat)
(3,53)
(10,74)
d(Oitgp_kf) = 0,77 d(Oitgp_s) + 1,22 d(Oitgp_l).

(t-stat)
(3,38)
(10,6)
:
Oitga_kf = 5 036 497 280 + 0,856 Oitgp_s + 1,03 Oitgp_l,
(t-stat)
(7,32)
(6,52)
(10,15)
Oitgp_kf = 5 028 110 491 + 0,855 Oitgp_s + 1,031 Oitgp_l.

(t-stat)
(7,34)
(6,55)
(10,19)
147
(1,91)

d(Oitga_kc) = 0,46 d(Oitga_n) 2,04 d(Oitga_l) + 2,12 d(Oitgp_l) + 0,87 d(Oitgp_lc),
(t-stat)
(14,78)
(2,76)
(2,9)
(11,14)
d(Oitga_kc) = 0,44 d(Oitga_n) 2,08 d(Oitga_l) + 2,18 d(Oitgp_l) + 0,88 d(Oitgp_lc).

(t-stat)
(14,47)
(2,88)
(3,055)
(11,48)
:
Oitga_kc = 3 796 731 703 + 0,4404 Oitga_n 1,09 Oitga_l + 1,14 Oitgp_l + 0,74 Oitgp_lc,
(t-stat)
(5,15)
(21,75)
(1,04)
(1,15)
(8,96)
Oitgp_kc = 3 881 236 614 + 0,4398 Oitga_n 1,23 Oitga_l + 1,28 Oitgp_l + 0,75 Oitgp_lc.
(t-stat)
(5,32)
(21,97)
(1,20)
(1,31)
(9,13)
,
, . .
1.
, . ,
, , , , ,
. ,
, Oitga, Oitgp Iitg .
2.
, , . ,
, .
,
.
148
3. , :
d(Iitg_w) = 10 879 707 0,106 Oitga_s + 0,107 Oitgp_s + 0,02 Oitga_n
0,0002 Oitgp_n 0,02 Iitg_n + 0,005 Oitga_l 0,006 Iitg_l 0,004 Oitgp_lc,
d(Iitg_kc) = 8 386 790 + 0,0003 Oitgp_s 0,0006 Oitgp_l,
d(Iitg_kf) = 84 504 911 + 0,001 Oitga_n + 0,145 Oitga_l 0,141 Oitgp_l
0,005 Oitgp_lc,
:
d(Iitg_w) = 10 879 707 0,106 Iitg_s,
d(Iitg_kc) = 8 386 790,
d(Iitg_kf) = 84 504 911+0,141 Iitg_l.
, ,
.
3.

, ,
,

. .

.
,
. . ,
[1].

, [ ].
149
, .
.

, :

L(t) + Lc(t) = S(t) + N(t).
(15)
Or , :

L(t) + Lc(t) + Or(t) = S(t) + N(t).
(16)
, (15) (16) . (. 6),

:
(17)

, .
, ,
(17) . . 6 ,
2004 2008 .
, .

, (17). 2007 . , 2008 . ,
.
(. 9).
150

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,
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mY = c.
, , ,
,

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.

.
1. .., .., .. //
. 2009. 2. . 143171.
2. .., ..
// . 2006. 2. . 1. . 10. . 234266.
155
3. .. // . 2002. 14; 2003. 1.

4. . URL: http://
www.cbr.ru/credit/forms.asp
5. 16 2004 . 110-
. URL: http://base.garant.ru/584347/
6. 21 2006 . 165-. . URL: http://www.cbr.ru/credit/165-t.pdf
7. Brunnermeier M.K., Pedersen L.H. Market Liquidity and Funding Liquidity.
NBER. 2007. URL: http://www.nber.org/papers/w12939.pdf
8. Kaminsky G.L., Reinhart C.M. The Twin Crises: The Causes of Banking and
Balance-of-Payments // American Economic Review. 1999. URL: http://home.gwu.
edu/~graciela/HOME-PAGE/RESEARCH-WORK/WORKING-PAPERS/twin-crises.
pdf
9. MacKinnon J.G. Critical Values for Coitegration Tests // Queens University.
2010. URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1227.pdf
10. Scheinkman J., Xiong W. Heterogeneous Beliefs, Speculation and Trading
in Financial Markets. Princeton University. 2004. URL: http://www.princeton.
edu/~joses/wp/survey.pdf
11. Von Thadden E.-L. An Incentive Problem in the Dynamic Theory of
Banking. DEEP, University of Lausanne and CEPR. 2000. URL: http://www.
swissfinanceinstitute.ch/rp25.pdf
156

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0,02
0,03
0,38
0,51
0,01
0,07
1,22
Lh
0,10
0,05
0,08
0,12
Or
3,22
0,00
0,13
3,71
Kh
0,43
0,11
0,17
0,31
Dh
0,31
0,13
0,18
0,17
0,63
0,09
0,26
0,38
La
0,38
0,15
0,27
0,23
Dg
0,83
0,16
0,35
0,41
0,58
0,20
0,37
0,24
Df
0,78
0,12
0,38
0,44
Pb
4,04
0,11
0,51
1,15
Bl
2,07
0,32
0,78
0,47
Dc
28,98
0,05
1,04
3,75
Ka
4,43
0,27
1,14
0,77
2,72
0,56
1,38
0,39
Kg
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0,00
1,42
5,32
Lg
9,47
0,22
1,43
1,02
3,02
0,37
1,58
0,46
Nh
2,28
1,11
1,63
0,14
Da
2,46
0,91
1,66
0,23
Ng
12,01
0,98
3,24
0,74
Kb
5,97
2,42
3,46
0,21
11,26
1,44
3,48
0,56
Lf
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1,99
3,97
0,28
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0,25
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4,86
0,33
Lb
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4,30
6,38
0,17
166
Lc
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1,76
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10,71
15,78
0,20
23,73
11,67
17,00
0,18
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21,10
1,14
Nf
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41,83
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I(1)
Intermediate ADF test results D(UNTITLED)
d(Iitg_Kc)
0,000
10
54
d(Iitg_Kf)
d(Iitg_L)
d(Iitg_Lc)
0,000
10
54
d(Iitg_Liq)
d(Iitg_N)
d(Iitg_Or)
d(Iitg_S)
d(Iitg_W)
d(Oitga_Kc)
d(Oitga_Kf)
d(Oitga_L)
d(Oitga_Lc)
d(Oitga_Liq)
0,018
10
53
0,000
10
54
0,000
10
54
0,012
10
52
0,000
10
54
0,000
10
54
0,000
10
54
0,000
10
53
0,000
10
53
0,000
10
53
0,000
10
53
0,000
10
53
d(Oitga_N)
0,000
10
53
d(Oitga_Or)
d(Oitga_S)
d(Oitga_W)
d(Oitgp_Kc)
d(Oitgp_Kf)
d(Oitgp_L)
d(Oitgp_Lc)
d(Oitgp_Liq)
d(Oitgp_N)
d(Oitgp_Or)
d(Oitgp_S)
d(Oitgp_W)
0,000
10
54
0,000
10
54
0,000
10
53
0,000
10
53
0,000
10
53
0,000
10
53
0,000
10
53
0,000
10
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0,000
10
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0,000
10
53
0,000
10
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0,000
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168
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176

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178
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Prob(rab = 1) = + 1 age + 2 age 2 + 3 sex + 4 child +
+ 5 higheduc + 6 speceduc + 7 gorod + Region + .
. 3 .

, :
0,1511.
.
, .
logW = + 1age + 2 age 2 + 3 sex + 4 mar + 5 child +

+6 higheduc + 7 speceduc + 8 gorod + 9lang + 10 small +
+11med + 12large + 13 gos + 14 for + 15own + 16 sub +
+17 risk + Proffesion + Region+ Ties+ + .
. 2.
,
( ),
. ,
(
), , ,
, .
.
179
2.
, 2010 .
(robust)
1,637***
0,110
0,0221
0,02206
0,2677
R2
3686
* p < 0,1; ** p < 0,05; *** p < 0,01

: .
ties : family (
) , friends ,
inv . ,

, .
,
, .
.
, , .
3.3.
, ,
(switching regression).
:
. 19-
180
. 4 .
.
Ties = + 1 age + 2 age 2 + 3 sex + 4 child + 5 mar +
+6 higheduc + 7 speceduc + .

(, , , , , ) , , , ,

.
,
. ,
, . 0,466, .. ,
, 50%.
,
, , ,
. , , ,
, . , ,
.

.
logW = + 1 age + 2 age 2 + 3 sex + 4 child + 5 higheduc +
+6 speceduc + 7 gorod + 8lang + 9 small + 10large +
+11 gos + 12 for + 13own + 14 sub + 15 risk +
+ Proffesion + Region+ .

. 4 -
181
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. lnwage0,
, . 4 . . 7.
:

.
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7.
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/
/
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3,9701
3,936
3,898
0,751
0,554
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,
.
1. Boxman E.A.W., De Graaf P.M., Flap H.D. The Impact of Social and Human
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1.
North, Central, Volga,

Kavkaz, Ural, Sib,
-
FarEast, South

Gorod
-: 1
, ; 0
,
Age; age2
,

,
16 65;
age2 = age age
Mar
-: 1
, 0
187
-: 1

Higheduc (Speceduc) (
), 0
Sex
-: 1 ,
0
Rab
-: 1
(

), 0
; ,

Mil, man, profh,

profs, office, service,
agr, craft, prom,
workers
-
ISCO88
Family, friends, inv
-: family
; friends
; inv

Ties, weak, strong
-: ties = friends +
+ family + inv; ties = 1
, ties = 0

(, ,

.); weak = friends +
+ inv; strong = family
Small, med, large
-: small
( 100 ), med
( 101 250), large
( 251)
Sub
1
-: 1
, 0
Risk
2
-: 1
,
0
188
Gos, for, own
-: gos
, for ,
own
18
Child
Lang
-: 1
, , ,
; 0
( 19-
)
Exp; exp2
: exp =
1
2002 . +
1 2002 . (

); exp2 = exp^2
Lnwage
:

(
,

30 ,
,

2007 .)
: .
2. , 2010 .
0,0219**
(0,0109)
0,0219**
(0,0109)
0,0223**
(0,0109)
0,0223**
(0,0109)
0,0003**
(0,00011)
0,0003**
(0,00011)
0,00029** 0,00029**
(0,00011)
(0,00011)
()
0,215***
(0,0258)
0,213***
(0,0251)
0,213***
(0,0251)
0,213***
(0,025)

( )
0,00676
(0,0231)
189
0,043***
0,0427***

(0,0165)
(0,0164)
0,334***
0,334***

(0,032)
(0,032)

0,0873***
0,0871***
(0,0265)
(0,0265)

0,28***
0,28***
()
(0,023)
(0,023)

0,0839***
0,084***
(0,03)
(0,03)
0,0896*** 0,0897***

(0,0259)
(0,0259)
0,037
0,037

(0,039)
(0,039)
0,0539*
0,0536*

(0,032)
(0,032)
0,141***
0,141***
(0,022)
(0,022)
0,228***
0,227***
(0,061)
(0,061)
0,189***
0,188***
(0,063)
(0,063)
0,154***
0,154***

(0,027)
(0,027)
0,13***
0,13***

(0,028)
(0,028)
,
0,402***
0,401***
(0,059)
(0,059)
0,45***
0,45***

(0,043)
(0,043)

0,366***
0,366***

(0,0417)
(0,0416)
0,285***
0,284***

(0,056)
(0,056)
0,172***
0,171***
(0,043)
(0,043)
0,406***
0,406***
(0,043)
(0,043)
190
0,0419**
(0,0164)
0,335***
(0,032)
0,0882***
(0,0265)
0,28***
(0,023)
0,0837***
(0,03)
0,1***
(0,0235)
0,0418**
(0,0164)
0,336***
(0,032)
0,0881***
(0,0265)
0,28***
(0,023)
0,0871***
(0,029)
0,113***
(0,0215)
0,0431
(0,0302)
0,14***
(0,022)
0,23***
(0,061)
0,189***
(0,063)
0,154***
(0,027)
0,13***
(0,028)
0,403***
(0,059)
0,45***
(0,043)
0,137***
(0,022)
0,238***
(0,061)
0,194***
(0,063)
0,157***
(0,027)
0,13***
(0,028)
0,402***
(0,059)
0,45***
(0,043)
0,367***
(0,0416)
0,368***
(0,0416)
0,285***
(0,056)
0,169***
(0,043)
0,405***
(0,043)
0,287***
(0,056)
0,167***
(0,043)
0,407***
(0,043)
0,347***
(0,0409)
0,346***
(0,0408)
0,346***
(0,0408)
0,348***
(0,0408)
0,686***
(0,065)
0,687***
(0,065)
0,686***
(0,065)
0,686***
(0,065)
0,536***
(0,0603)
0,536***
(0,0603)
0,536***
(0,0603)
0,538***
(0,0603)
0,145**
(0,061)
0,145**
(0,061)
0,143**
(0,061)
0,145**
(0,061)
0,277***
(0,069)
0,277***
(0,069)
0,278***
(0,069)
0,280***
(0,069)
0,210***
(0,063)
0,21***
(0,063)
0,209***
(0,063)
0,211***
(0,063)
0,395***
(0,075)
0,395***
(0,075)
0,394***
(0,075)
0,394***
(0,075)
0,313***
(0,064)
0,313***
(0,064)
0,313***
(0,064)
0,314***
(0,064)
0,013
(0,0209)
0,013
(0,0209)
0,014
(0,0209)
0,014
(0,0209)
2,480***
(0,265)
2,480***
(0,265)
2,480***
(0,265)
2,480***
(0,265)
R2
0,3346
0,3346
0,3344
0,3341
R2 adj
0,3288
0,3290
0,3290
0,3288
3686
3686
3686
3686

* p < 0,1; ** p < 0,05; *** p < 0,01.
: .
191
3. -
( rab), 2010 .
()
0,232***
0,0429
0,225***
0,0213
0,0029***
0,00021
0,0551
0,0358
0,568***
0,0543
0,346***
0,0486

()
0,186***
0,0444
0,437***
0,119
0,411***
0,105
0,299***
0,108
0,286***
0,123
0,278***
0,111
0,454***
0,135
0,491***
0,116
3,801***
0,5309
5276
Log likelihood
2475,223
0,1669
Pseudo R
* p < 0,1; ** p < 0,05; *** p < 0,01.

: .
192
4. , 2010 .
1:
(

lnwage)
2:
(

lnwage)

(

ties)
0,0169
(0,0159)
0,0281***
(0,0073)
0,0132
(0,006)
0,0002
(0,00017)
0,000359***
(0,00007)
0,000039
(0,000064)
0,0303
(,0377)
0,076***
(0,0262)
0,357***
(0,0167)
0,019*
(0,0107)
0,464***
(0,0439)
0,213***
(0,0411)
0,426***
(0,034)
0,0643*
(0,035)
0,0893*
(0,0403)
0,0431
(0,0319)
0,2301***
(0,083)
0,094
(0,101)
0,139***
(0,039)
0,117***
(0,0408)
0,514***
(0,093)
0,448***
(0,063)
0,239***
(0,021)
0,0509***
(0,0173)
0,145***
(0,0154)
0,111***
(0,016)
0,019
(0,020)
0,229***
(0,014)
0,209***
(0,041)
0,289***
(0,044)
0,161***
(0,018)
0,144***
(0,018)
0,301***
(0,0404)
0,438***
(0,028)
0,334***
(0,012)
0,0505***
(0,0091)
0,182***
(0,012)
0,135***
(0,014)
0,563***
(0,013)
0,0732***
(0,012)
()

( )

()

193
1:
(

lnwage)
2:
(

lnwage)

(

ties)
0,404***
(0,062)
0,330***
(0,027)
R2
0,291***
(0,079)
0,262***
(0,067)
0,502***
(0,059)
0,412***
(0,055)
0,615***
(0,096)
0,787***
(0,088)
0,146
(0,091)
0,294***
(0,102)
0,192**
(0,098)
0,103
(0,105)
0,337***
(0,093)
2,517***
(0,389)
0,3650
0,274***
(0,035)
0,068**
(0,027)
0,287***
(0,028)
0,295***
(0,027)
0,757***
(0,0409)
0,304***
(0,0384)
0,149***
(0,0385)
0,273***
(0,0435)
0,232***
(0,0404)
0,717***
(0,0503)
0,308***
(0,0402)
2,532***
(0,177)
0,4935
j ( j = 1,0)
0,328**
0,305***
0,289**
(0,135)
0,4841
3686
* p < 0,1; ** p < 0,05; *** p < 0,01.

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1. Acemoglu D. Why Do New Technologies Complement Skills? Directed

Technical Change and Wage Inequality // The Quarterly Journal of Economics. 1998.
Vol. 113. No. 4. P. 10551089.
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. 2431.
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.
5. Angkinand A., Wihlborg C. Deposit Insurance Coverage, Credibility of Noninsurance, and Banking Crises, LEFIC Working Paper No. 2005-10. 2005.
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Banks Risk-taking in Emerging Markets // Journal of International Money and Finance. 2010. Vol. 29. P. 252274.
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Around the World a New Database. World Bank Policy Research Working Paper
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8. Chernykh L., Rebel C. Does Deposit Insurance Improve Financial Intermediation? Evidence From the Russian Experiment. MPRA Paper No. 12987. 2009.
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2002. Vol. 49. P. 13731406.
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in Banking, and Prudential Regulation: Are Capital Requirements Enough? // The
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Without Deposit Insurance. Bank of Finland Discussion Papers No. 21/2000. 2000.
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Discussion Papers No. 14/2008. 2008.
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The Journal of Risk and Insurance. 2004. Vol. 21. No. 4. P. 707735.
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default.aspx
31. . URL: www.cbr.ru
32. banki.ru. URL: www.banki.ru
33. . URL: www.asv.
org.ru
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(. 5). 0,05.
. ,
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, .
255
GVODUJPO@TL@DB

GVODUJPO@CQ@DB

TL@DB@MBH

CQ@DB@MBH
. 4. sk_ca

. 5. bp_ca

f (sk _ ca) =
f (bp _ ca ) = 60 bp _ ca _lag 2 +
= 11,0584 sk _ ca _lag 2_+
+1053bp _ ca _lag 2)2
+14,1532 (sk _ ca _lag 2)
GVODUJPO@ODC@DB
GVODUJPO@MO@DB@MBH

ODC@DB@MBH

MODB@MBH
. 6. ncb_ca

. 7. ln_ca

f (ncb _ ca) = 4,7581ncb _ calag 2 +

+17,0004 (ncb _ ca _lag 2)2
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= 1,9416 ln_ ca _lag 2_+

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, ,
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256
too big to fail (. 7).

pzs_ke .
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ln_oks_ca . ,

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258

, :
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CAMELS .
, , ,
,
. :
. ,

.
, , .
,
.
.
1. .., .., .. :
/ . .. . .: , 2005.
2. .., .., .. :
. .: , 2007.
3. .. // . 2007. . 43. 3. . 3762.
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.., 2013
..
..
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285

. , , ,
,
..
1. .
// . 2009. 4.
URL: http://www.reglament.net/bank/credit/2009_4.htm
2. -
2012 2013 2014 . . 2011. URL: http://www.cbr.ru/today/publications_reports/
on_2012(2013-2014).pdf
3. C World Business Law. URL:
analytics/detail.php?ID=1505
http://www.worldbiz.ru/
4.
. URL: http://www.bis.org/bcbs/history.htm
5. ., ., . .
. . WP 2006/57. 2006.
6. ., . , III
// . 2011. 4. URL:
http://www.reglament.net/bank/control/2011_4.htm
7. c V . . . 34 2010 . URL: http://www.bis.org/speeches/
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P. 6983.
287
288
0,179921
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0,580569
CPI

.
()

.
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CPI
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.
()
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.
()
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: 2000
2011.
0,587601
0,349559
LIBOR(year)
0,718631
Brent
RUB/USD
Brent
1.
289
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66 936 970 60 251 760
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Net Profit,
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EBITDA,
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EBITDA
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EBITDA
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6 268 590
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1 383 210
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10 272 060
2,19
2 118 436
96 720 797
2010
3,14
42 888 871
10,33
13 678 895
6,42
8 500 499
132 444 824
2011
4 317 000
1,21
889 000
73 773 000
1,83
11 656 400
5,95
6 361 000
1,71
1 824 000
106 830 000
71 604 500
3,51
14 320 900
408 115 180
2,49
211 496 100
17,67
85 056 300
2,76
13 295 550
481 340 000
44 042 120
3,01
7 115 440
236 741 730
3,51
129 344 850
13,45
36 846 360
1,34
3 678 750
273 875 580
86 528 811
4,01
15 782 138
393 162 349
2,07
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22,13
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13,75
63 973 021
465 358 932
2.
290
23 199 921
2,03
4 803 597
0,52
14 567 699
34,98
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1,03
14,63
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8 350 276
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8,77
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10,61
1 844 968
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958 175
17 394 025
1,73
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7,83
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65 773 141
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4,22
43 317 295
10,62
103,01
27 195 000
0,76
264 000
14,69
11,23
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16,20
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311 433 640
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17,55
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161 931 470
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.
379,150
174,400 379,150
83,600
34,500
8,500
Over,
.
Tax Brackets
Single
Note: Last law to change rates was the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Over,
.
Tax Brackets
10,0
Marginal
Tax
Rate, %
Married Filing Jointly
Nominal 2011
Note: figures are presented in nominal dollar amounts
35,0
33,0
28,0
25,0
15,0
10,0
Marginal
Tax Rate,
%
119,400
46,250
12,150
But Not
Over,
.
379,150
193,350 379,150
119,400 193,350
46,250
12,150
Over,
.
Tax Brackets
Head of Household
1. , 2011 .
, ,
, .
,
() / .
() (capital gain tax), (ordinary income tax),
, .
,
,
. , , .
, .
,
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2.2. a
[23]
, ,
(institutional demand
theory).
,
,
298
.
.
, ,
.
, . ,
.
( )
,
. ,
,
, [Ibid., p. 908].
,
(.. ) .

, , . ,
.
, (
Rm/Rt) 1 tc, tc
. .
, , ,
, , [Ibid., p. 911].
:
Rm = (1 tp) Rt,
;
tp .
, , , ,
299
:
Rmt = t + Rt, v t = 1, 2, N,
t , (1 tp). , t
.

19701979 ., :
52% (
48%);
, , ;
Rm/Rt .
, t
. ,
, [23, p. 922].
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[5] :
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. , ,
, [Ibid., p. 282].
,
,
,
300
. ,
. (pre-refunded) . , ..
, . , ,
, .
,
. , , ,
,
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, , [Ibid., p. 304].
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(systematic consumption risk).
,
. C-CAPM (onsumption Capital Asset Pricing Model)
, , ,
.
. , , ,
. , ,
,
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.
301
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[11] ,
,
.
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,
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,
. , [11, . 246248].
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, (1 .), 10%
T,
, 5%
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:
1 (2 2B5%) = 1 (1 PT),
.
, ,
,
, ..:
PT = [1 (1 PT)]dT,
dT -.
,
, . ,
, . ,
,
302
. [Ibid., . 247].
, :

(*)

MT , ;
CT ,
.
dT < dt t < T,
(*) ,
T, MT CT
(1 ), , MT. ,
.
2.5. .
[17] ,
, . ,
2011 . .
, ,
, , LIBOR.
.
-, (, ) , , [11] [7],
.
-, , -
303
. -,
.
, ,
(MSI) SIFMA (Securities
Industry and Financial Markets Association).
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). VRDO , 30
40 . ,
, .
LIBOR.
, , MSI ( VRDO)
VRDO.
20012008 . ( ),
, , ,
/ , ,

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rt ( );
t , / ;
t ,
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.

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2011 .
305
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-
3.1.
:
, , ;
;
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:
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;
4)
Moodys, .

:
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X t;
i i;
;
i ( ).
, , (
306
, i, 2) ;
.

(Constant Maturity Treasury
rates CMT) . CMT ,
.
. ,
t ,

. 250 ( 2011 .)
[25].

Muni Composite AAA, Moodys.
, ,
AMT /, .
.

, . (355
2011 .) Xignite [26].
, ,
, : ( )
, (), ( 38%) (
) ,
(. 1).
Excel.
307

$.5SBUFT
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,
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,
2011 . , 2008 .
, 2011 . ,
, .
, .
,
( ,
.. , 1 i) .
(. 2) CMT
( ) Muni Composite -
308
2. , 20012011 .
2001
2003
2005
2007
2009
2011
,
%
4,7
6,0
5,1
4,6
9,3
9,0

2005, %
1,1
2,5
3,1
1,9
3,5
1,7
,
.
11 347 200 11 836 400 12 623 000 13 206 400 12 703 100 13 315 100

2005., .
39 767,99

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, 2011 .
309
. ( = 38%) . ,
. , .
,
i = 2, 5, 10 20.
Excel
Yit Xit.
.
( F) , .. .
. 3 .
3.
i
(
)
i
(
i
(
)
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, i ,
. ,
, (
i, , ;
28,2% 4 ..). , i ,
. ,

.
310
i,
37,5%
,
. , , 5359%,

. , , , ,

,
, ,
. , 1965 1981.

70%, . 1945 ., , 94% [27].
, 5359%,
.

,
.
,
(. 1.2).
, ,
, . , , , ,

. 3 ,
, ,
, ,
. , -
311

,
. -
.
1. Ang A., Bhansali V., Xing Y. Taxes on Tax-Exempt Bonds // Journal of

Finance. 2010. Vol. 65. Iss. 2. P. 565601.
2. Ang J., Peterson D., Peterson P. Marginal Tax Rates: Evidence from
Nontaxable Corporate Bonds: A Note // Journal of Finance. 1985. Vol. 40. P. 327
332.
3. Arak M., Guentner K. The Market for Tax-Exempt Issues: Why are the Yields
so High? // National Tax Journal. 1983. Vol. 36. P. 145161.
4. Buser S.A., Hess P.J. Empirical Determinants of the Relative Yields on
Taxable and Tax-Exempt Securities // Journal of Financial Economics. 1986. Vol.17.
P. 335355.
5. Chalmers J.M.R. Default Risk Cannot Explain the Muni Puzzle: Evidence
from Municipal Bonds that are Secured by U.S. Treasury Obligations // Review of
Financial Studies. 1998. Vol. 11. No. 2. P. 281308.
6. Chalmers J.M.R. Systematic Risk and the Muni Puzzle // National Tax
Journal. 2006. Vol. 59. Iss. 4. P. 833848.
7. Constantinides G.M., Ingersoll J.E., Jr. Optimal Bond Trading with Personal
Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves //
Journal of Finance. 1982. Vol. 37. P. 349352.
8. Municipal Bonds / F. Fabozzi, S. Feldstein (eds). Vol. I. Dow Jones Irwin.
(Handbook of Fixed Income Securities.) Inc., 1983.
9. Feenberg D., Poterba J.M. The Alternative Minimum Tax and Effective
Marginal Tax Rates // National Tax Journal. 2004. Vol. 57. P. 407427.
10. Feenberg D., Poterba J.M. Which Households Own Municipal Bonds?
Evidence from Tax Returns // National Tax Journal. 1991. Vol. 44. P. 93103.
11. Green R.C. A Simple Model of the Taxable and Tax-Exempt Yield Curves //
Review of Financial Studies. 1993. Vol. 6. P. 233264.
12. Green R.C., Oedegaard B.A. Are There Tax Effects in the Relative Pricing of
U.S. Government Bonds? // Journal of Finance. 1997. Vol. 52. P. 609633.
13. Jordan J.V. Tax Effects in Term Structure Estimation // Journal of Finance.
1984. Vol. 39. P. 393406.
14. Kochin L.A., Parks R.W. Was the Tax-Exempt Bond Market Inefficient or
were Future Expected Tax Rates Negative? // Journal of Finance. 1988. Vol. 43.
P.913931.
312
15. Livingson M. Bond Taxation and the Shape of the Yield-to-Maturity Curve //
16. Livingston M. The Pricing of Municipal Bonds // Journal of Financial and
Quantitative Analysis. 1982. Vol. 17. P. 179193.
17. Longstaff F.A. MunicipalDebtandMarginalTaxRates: Is There aTaxPremium
in Asset Prices? // Journal of Finance. June 2011. Vol. 66. Iss. 3. P. 721751.
18. Nanda V., Singh R. Bond Insurance: What is Special About Munis? // Journal
of Finance. 2004. Vol. 59. P. 22532279.
19. Neis E. Liquidity and Municipal Bonds. Working paper, UCLA. 2006.
20. Schaefer S.M. Tax-Induced Clientele Effects in the Market for British
Government Securities // Journal of Financial Economics. 1982. Vol. 10. P. 121
159.
21. Skelton J.L. Relative Risk in Municipal and Corporate Debt // Journal of
Finance. 1983. Vol. 38. P. 625634.
22. Stock D., Schrems E.L. Municipal Bond Demand Premiums and Bond Price
Volatility: A Note // Journal of Finance. 1984. Vol. 39. P. 535539.
23. Trzcinka Ch. The Pricing of Tax-Exempt Bonds and the Miller Hypothesis //
24. Yawitz J.B. Risk Premia on Municipal Bonds // Journal of Financial and
Quantitative Analysis. 1978. Vol. 13. P. 475485.
25. , CMT. URL: http://www.treasury.
gov/resource-center/data-chart-center/interest-rates /pages/TextView.
aspx?data=yieldYear&year=2011 (treasury rates)
26. Xignite, c Muni Composite Rates. URL: http://
www.xignite.com/xRates.asmx?op=GetHistoricalRates (muni composite)
27. http://www.taxfoundation.org/files/fed _individual_rate_history_
nominal&adjusted-20110909.pdf ( )
28. http://data.bls.gov/timeseries/LNS14000000 ()
29. http://data.worldbank.org/indicator/NY.GDP.MKTP.KD.ZG/countries ( )
30. http://www.measuringworth.com/datasets/usgdp/result.php (
)
31. http://www.bondbuyer.com/marketstatistics/treat/ (
)
.., 2013
..
..
. SFA-, .
.
, , ,

, . , .
DEA (data envelopment analysis) SFA (stochastic
frontier analysis).
20062010 . SFA. :
1) ;
2) ,
;
3) ;
4)
RUSLANA (Bureau Van Dijk).
314
SFA . .
, , ,
.
(. [17]).
(. [21; 16]).
. SFA
([1; 2; 3] .).
, -, SFA, -,
( )
.

( ESS
TSS). SFA-, , ,
, .. .
, , . (. [17]).
, :
1) : ;
2) : , .
, .
1.
[12],
.
[14], , . : , .
315
, .
:
, ,
.
: - (y, x) GR , ( y , x ) GR,
( y , x ) (y, x ) , GR
- [22].
, , SFA-.
2.
RUSLANA (:
Bureau Van Dijk). 10
30 (, ..). ,
1,
, ,
. SFA,
,
.
, . 10%
. 299 , 20062010 .:
lnq ( , .
.)
lnl ( );
1
(26.61); (26.63); (26.64); (26.65).
316
lnk ( . .).
. , .
,
.
: dummy1, 1, 2010 .; dummy2, dummy3, dummy4
( ).
ln_dolg_po_zp ( . ).
ln_dolg_po_dohodam ( . .).
ln_sebestoim ( ) ( . .). ,
,
.
kap ( . .).

(. 7).
1.
.
.
lnq
1495
11,777
1,4328
3,7135
15,5066
lnl
1495
4,8847
1,1015
1,3862
7,517
lnk
1495
11,2416
1,4191
4,3178
15,4986
ln_dolg_po_zp
1495
6,6861
2,2306
10,787
ln_dolg_po_dohodam
1495
1,003
2,318
11,1336
ln_sebest
1495
11,592
2,0794
2,0795
15,069
kap
1495
10,073
3,7185
3,7185
14,407
,
. ,
317
: ,
, , , ,
.
:
ln(qit ) = 0 + 1 ln(lit ) + 2 ln(kit ) + 3 dummy1t +
+ 4 dummy2t + 5 dummy3t + 6 dummy4t + eit ,

eit uit it . ln(x nit ) .
o

g
. 1. RE-
, ,
,
RE- ( FE- ) (. 1). ( 0,17),
.
318
, .
.
3.
, ,
,

.
3.1.
, ,
. SFA.
, : qi = f (zi ,) ,
qi i- , z i , ,
. .
,
:
qi = f (zi ,)i , i i- . i (0; 1], 1 . , : qi = f (zi ,)i exp(vi ) , exp(vi )
. ,
: ln(qi ) = ln{ f (zi ,)} + ln(i ) + vi . ,
m , - m
: ln(qi ) = 0 + j ln(zij ) ui + vi ,
j =1
ui = ln(i ) , , ui > 0, ,
i . , , , ,
, , , (
[1]).
319
3.2.
SFA-
, , .
.
f (uit ,eit )
, E (uit eit ) 1. f (uit eit ) =
f (eit )
([18] ( JLMS )).
2. [6] ( BC)
E (exp(uit ) eit ) . , random parameters model . , exp(uit )
proxy .
BC. JLMS BC
, BC.
3. ( . [16]).
(. [Ibid.]). . n ,
uit* ,
JLMS . , , , u!it* ,
. , ,
. , ( [Ibid.],
), , ,
. .
.
E (uit eit ) , uit .
, qit , xit ,
uit - . .
-
320
, , .
, .. ,
.
, , , , ,
. ,
.
3.3. (TI-) [6; 27]

.
:
ln(qit ) = 0 + n ln(x nit ) + vit ui ,

n
;
, ;
;
ui (
).
SFA ,
.
. TI-
TVD- / , -
, .
3.4. (TVD-) [6; 11]

, , , , , , .
: ln(qit ) = 0 + n ln(x nit ) + vit uit .
n
321
, t uit . ,
.
, ( STATA
[5]).
3.5. FE RE [6]
FE RE , ,
. FE:
ln(qit ) = oi + n ln(x nit ) + vit , ui n
max(0 i ) 0 i (.. i
), exp(ui ) .
.
[16], -
( . . 4).
RE SFA- : ln(qit ) = (0 E (ui )
ln(qit ) = (0 E (ui )) + n ln(x nit ) + vit (ui E (ui )) = *0 + n ln(x nit ) + vit ui* .
n
. *
*
exp(max(ui ) ui ) .
i
2.
TI
TVD
RE
FE
lnl
0,4571***
(0,0359)
0,4748***
(0,0284)
0,5564***
(0,0336)
1,0441***
(0,0671)
lnk
0,5958***
( 0,02)
0,569***
(0,0195)
0,5733***
(0,0247)
0,5984***
(0,036)
Dummy1
0,0036
(0,0282)
0,1026***
(0,0309)
0,0028
(0,0278)
0,0081
(0,0273)
Dummy2
0,5524***
(0,0283)
0,3688***
(0,0373)
0,5573***
(0,0279)
0,5865***
(0,0275)
Dummy3
0,5014***
(0,0285)
0,2384***
(0,0443)
0,5085***
(0,0282)
0,5783***
(0,0296)
Dummy4
0,3189***
(0,0299)
0,018
(0,0515)
0,3237***
(0,0302)
0,4310***
(0,0361)
322
. 2
cons
TI
TVD
RE
FE
3,1867***
(0,1691)
3,5683***
(0,1707)
2,3372***
(0,2134)
0,3711
(0,4876)
0,5916
0,6007
0,4144
0,2179
. .
0,2018
0,2069
0,1676
0,1792
0,0407
0,0167
0,0383
0,0173
0,9527
0,9648
0,99
*** 1%- ; ** 5%- ; * 10%- .
3.6. True Fixed effect model

True Random effect model ([20; 17; 29])
FE- RE-
(, FE ), [15] .
True, .
, - True FE
. True RE-.
True RE-, , [20]. -
True RE , , , [17],
,
. RE-: ln(qit ) = 0 + n ln(x nit ) + vit + i ,
n
i = max(*i ) *i . PTE
(persistent technical efficiency) ,
exp( i ) . SFA : vit = 0 uit + eit , vit
RE-, ,
(residual technical efficiency): RTE = exp(uit ) . (overall technical efficiency), OTE =
= PTE RTE. , ,
323
, , , .

,
, .
STATA
cross-section SFA-, ,

kap, , ,
.
3.7. [21]
, [17], , [21]
:
ln(qit ) = 0 + n ln(x nit ) + i + vit i uit ,

n
i , ;
vit ;
i ;
uit , .

,
*0 = 0 E (i ) E (uit ) ;
;
.

, . :
, ,
,
proxy .
SFA-.
:
i = E (i ) + (i + ( i i )) i , ( i i ) ,
SFA-
324
. ,
PTE = exp(i ), , , RTE = exp(uit ).
OTE = PTE RTE .
True RE- , .
3.8. (MoM) [22]

,
. .
, .
, .
-
, , (I + N + 2) time-invariant- v, I , N ,
, T
I . [22]
. , [15] -
, . ,
, ,
( [22; 29]).
3.8.1. MoM. T-inv
time-invariant- .
OLS- ln(qit ) = (0 E (ui )) + n ln(x n
0 E (ui )) + n ln(x nit ) + vit (ui E (ui )) = *0 + n ln(x nit ) + vit ui* . - n
n
, / ,
325
. -

. RE-
. (
. [22]).
RE. ,
, , .
3.8.2. MoM. T-v

, . :
ln(qit ) = (0 t E (ui )) + n ln(x nit ) + vit (ui t E (ui )) =

n
= t* + n ln(x nit ) + vit uit* ,

n
dummy- .
, t = 1, , T.
t = 2, , T
, .
.
. ,
,
.
, v . , ,
[22] [28]. -
326
, ( ) .
3.8.3. MoM. T-inv v

, v, . v. OLS,
. RE-

.
.
3.8.4. MoM. T-inv u

, u.
,
OLS-.
.
. .
u. , .
3.8.5. MoM. T-inv u v

u v. v,
.
1
, 0 = (
) eit + (1 / I ) 2 ui . I T i t
i
.
3.8.6. MoM. T-v v

v. , :
327
ln(qit ) = (0 t E (ui )) + n ln(x nit ) + vit (ui t E (ui )) = t* + n ln(x nit ) + vit uit*
n
dummy- .
n ln(x nit ) + vit uit* ,
2
, vi = (1 /T ) eit*2 (1 /T )(( 2) / ) t it2 ,

t
, . .
, , .
3.8.7. MoM. T-v u

SFA
. / ,
. , . STATA
, .
3.8.8. MoM. T-v u v

, .
4.

, . (. 210).

(.3).
328
o
o

o

o

5FDIOJDBMFGGJDJFODZ

.
2.

o
TI
5FDIOJDBMFGGJDJFODZ

3.
.

o
TVD
5FDIOJDBMFGGJDJFODZ

o

o

5FDIOJDBMFGGJDJFODZ

UF@SF

UF@SF

. 4.
RE

UF@GF

UF@GF

. 5.
FE
329
o
o

05&

o
. 6.

05&

o
. 7.
4 errors model
o

True RE
o

JOEFYPG& FYQ V
]F

JOEFYPG& FYQ V
]F

05&

o
. 8.

05&

o
. 9.
MoM T-inv c . v
MoM. T-inv

330

o

JOEFYPG& FYQ V
]F

. 10.
MoM T-inv c . u v
331
332
0,9610
0,9810
0,6342
0,9005
0,9597
0,9810
0,7871
0,7781
RE
FE
4 errors
model
True RE
MoM
T-inv
.
MoM
T-inv
. v
MoM
T-inv
. u v
TVD
TI
TI
0,7077
0,7185
0,9394
0,9156
0,8586
0,5878
0,9394
TVD
0,7700
0,7792
0,9729
0,9051
0,7567
RE
0,5154
0,5195
0,7567
0,7233
0,6450
FE
0,7424
0,7499
0,9051
0,9694
4 errors
model
0,7581
0,7674
0,9729
True RE
0,7700
0,7792
MoM
T-inv
.
0,9945
MoM
T-inv
. v
MoM
T-inv
. u
3.
1%- . ,
.

, , . FE- . ,

.
. 299 , ,
( ).
. :
, . .
, FE-.
-, , -,
,
, -,
[17], ,
.
.
FE-. , ,
:
, True RE- TVD-.
.
. , , , . -, ,
, . -, . -, () ,
RE-,
. - -
333
. , SFA.
, , , .. . , .
, .. 0,5,
. ,
,
, , .
5. ,

, , ,
. RUSLANA
: ( ), ( , , , ,
). ,
(.. ),
.
cross-section , ( , ).
.
,
. 1%, 0,0617
0,2092. ,
-
334
, , R2 ,
.
:
, ,
.
6.
. , , .
, .
, . FE- MoM,
,
.
,
( 6 [21]), True RE (,
[19]) TVD- ( [5]),
.

, ,
, .
1. .. // . 2006. 4.
.4355.
2. .., .. // .
2009. 3 (15). . 7489.
3. . // . 2007. 2 (6).
4. Aigner D., Lovell C.A.K., Schmidt P. Formulation and Estimation of
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Paper No. 6777. 1998.
17. Cameron A.C., Trivedi P.K. Microeconometrics. Methods and Applications.
Cambridge University Press, 2005.
18. Cameron A.C., Trivedi P.K. Microeconometrics Using Stata. Stata Press,
2009.
19. Disney R., Emmerson C., Wakefield M. IFS Working Paper No. W03/02.
20. EU Public Health Information & Knowledge System Demography Population Projections. URL: http://www.euphix.org/object_document/o5117n27112.html
21. Euwals R.W., Vuuren D.J., Wolthoff R.P. Early Retirement Behaviour in the
Netherlands Evidence from a Policy Reform. Tinbergen Institute Discussion Paper
No. 2006021/3. 2006.
22. Haan P., Myck M. Dynamics of Health and Labor Market Risks // Journal of
Health Economics. 2009. Vol. 28. No. 6. P. 11161125.
23. Hsiao C. Analysis of Panel Data. Cambridge University Press, 1999.
24. Sparato L. New Tools in Micromodeling Retirement Decisions: Overview
and Applications to the Italian Case. CERP. Working Paper No. 28/2. 2002.
25. Stock J.H., Watson M.W. Heteroskedasticity-Robust Standard Errors for
Fixed Effects Panel Data Regression. NBER Technical Working Paper No. 323. 2006.
384
385
2000
2001
2002
2003
2004

30 , .

1785,57 1154,60 2588,63 1882,64 3219,86 2560,49 3745,97 3048,25 4632,26 3865,86
30 , .

. .
1,11
1,62
1,25
1,73
0,03
1,21
0,25
1,73
0,20
1,01
0,28
1,52
0,22
1741,30 1126,96 2535,30 1815,32 3215,95 2508,88 3672,82 2963,94 4434,60 3656,99
1,60
0,03
36,56
0,38
1,18
0,05
42,38
0,80
0
,
5
0,11
36,86
0,38
68,33
0,03
42,41
0,80
69,39
0,06
36,78
0,38
68,51
1 ,
0
42,75
0,80
69,05
36,50
0,39
68,43
42,86
0,80
68,61
0,41
68,54
0,81
68,41
1
, 0
68,53
68,09
1. 20002004 .
386
2001
2002
2003
2004
25,73
1236,21
170,14
21,93
130,42
0,31

30 , .
30 , .
30 , .

30 , .
30 , .

30 :
0,31
127,00
31,75
182,80
952,72
86,02
118,16
139,34
88,73
362,47
120,66
112,96
353,30
0,34
165,57
40,48
0,31
149,54
32,58
6803,60 3569,61
0,33
237,61
22,18
187,16
0,28
213,89
39,63
0,35
328,25
20,35
0,30
268,99
41,88
1225,43 3017,60 2934,72
0,39
290,21
32,68
109,59
0,35
254,34
85,31
164,15
1907,93 1445,21 2379,02 1899,89 2790,62 2329,73 3 255,70 2 820,97
56,91
1433,66 1177,76 1838,08 1507,73 2191,96 1802,86 2 483,19 2 078,54
918,72

30 , .
763,57
1745,55 1102,69 2528,41 1770,38 3195,74 2415,54 3679,63 3005,97 4 612,07 3 724,91
2000

30 , .
387
1 ,
0
2001
2002
2003
2004
121,25
2,70
0,28
0,20
.
, .

:
1 ,
0

:
1 ,
0
0,19
.

:
1 ,
0
258,45
0,26
0,35
2,49
143,71
0,22
218,95
0,20
0,28
2,68
277,97
0,20
301,01
0,26
0,35
2,48
227,13
0,22
247,45
0,20
0,28
2,68
280,51
0,18
423,63
0,25
0,35
2,47
349,48
0,21
299,20
0,20
0,29
2,70
424,10
0,20
674,67
0,26
0,36
2,52
342,14
0,24
436,62
0,20
0,28
2,73
304,67
0,21
681,09
0,26
0,36
2,52
379,80
0,25
885,68
2000
.
.

,
.
388
2001
2002
2003
2004
8,24
7,99
7,62
2169,92 2158,48 2706,62 2739,95 3213,71 3254,56 3606,30 3616,41 4 115,52 4 141,07
8,48
0,93

, .
7,17
0,96
7,45
0,94
2001,11 1989,93 2967,67 3047,02 4018,42 4115,18 5032,07 5095,64 6 119,71 6 240,69
8,46
0,96
8,80
0,96

,
.
10,50
0,96
10,57
0,95
, %
0,95
0,97
0,97
2000

:
1 ,
0
389
2006
2007
2008
2009
2010
0,81
41,06
0,31
1,04
1,48
0,25
36,14
0,38
68,49
1,06
0,32
42,19
0,83
69,61
1,53
0,26
36,43
0,38
68,30
1,08
0,33
41,18
0,82
69,55
1,49
0,27
35,86
0,38
68,16
1,20
0,31
0,81
69,75
1,65
0,27
0,38
68,22
1,15
0,31
41,38
0,83
69,38
1,56
0,27
36,44
0,39
68,17
1,09
0,29
41,02
0,83
69,22
1,54
0,25
36,38
0,40
67,75
599,05
369,81
78,78
1236,79
202,88
627,13
122,77
775,66
62,24
295,03
815,15
121,60
240,38
1471,25
90,41
1192,70
900,23
168,81
402,84
1208,68
185,85
946,13
988,56
128,07
565,82
192,18
379,72
1970,64 1267,17
292,65
776,05
634,76
84,41
3042,95 1053,00
4430,54 1299,74
242,81
444,42
278,73
542,30
4601,45 3717,81 5341,54 4545,64 6404,18 5272,80 8239,76 7207,65 9474,71 9408,45 12865,93 11166,68
636,99
348,97
429,10
665,59
343,90
3295,75 2691,19 3795,73 3075,62 4261,87 3558,92 5511,16 4723,52 6528,84 5669,19 9564,19 8389,42
130,94
5709,26 4428,68 7302,45 5616,42 9252,11 6796,82 10594,71 8473,08 11065,57 9132,19 13478,53 10726,03
385,03
5768,07 4563,53 7292,55 5498,89 9373,03 7029,10 11002,97 8622,44 11239,83 9339,95 13676,00 10800,84

. .
5709,51 4473,72 7221,63 5343,64 9211,16 6880,09 10837,43 8434,12 10994,86 9114,66 12972,30 10586,72
69,71
2005
2. 20052010 .
390
2006
2007
2008
2009
2010
0,39
7,13
6,84
0,94
5,96
0,94
0,21
0,31
2,76
463,91
0,20
5,67
0,94
0,27
0,41
2,57
624,65
0,24
878,50
0,33
0,23
814,62
0,29
6,29
0,94
0,19
0,30
2,71
6,00
0,93
0,26
0,40
2,53
1007,40 1011,94
0,20
953,14
0,32
0,34
0,40
0,36
8,17
0,93
0,19
0,32
2,74
792,37
0,19
7,94
0,92
0,24
0,40
2,48
786,14
0,22
6,77
0,92
0,21
0,34
2,79
941,83
0,15
6,72
0,91
0,26
0,42
2,57
954,18
0,18
1934,74 1404,12 2073,28 1589,02
0,37
4686,73 4703,53 5263,89 5275,24 6070,66 6103,38 6884,02 6940,73 7684,25 7755,88 8751,87 8741,87
7,23
0,95
0,26
0,40
2,54
655,20
0,26
1086,96
0,37
7,54
0,93
0,20
0,30
2,76
542,54
0,22
689,27
0,36
7768,70 7870,97 10146,43 10201,88 12828,23 13058,83 15634,63 16058,21 17443,36 17946,17 19852,30 19891,32
0,96
0,26
0,38
2,50
444,90
0,24
797,16
0,37
0,21
2,76
0,31
502,54
0,17
696,84
0,34
2005
.
1071,70

logit-
3.

.
0,85***
(0,145)
0,41***
(0,012)
0,42***
(0,014)
0,39***
(0,023)
0,35***
(0,110)
0,55***
(0,124)
0,57***
(0,258)
0,16***
(0,008)
0,16***
(0,009)
0,15***
(0,014)
0,77***
(0,303)
0,78***
(0,378)
0,82*
(0,526)
0,79***
(0,298)
0,88***
(0,396)
0,71*
(0,458)
1,58***
(0,294)
1,70***
(0,373)
1,32***
(0,481)
1,92***
(0,290)
1,96***
(0,368)
1,87***
(0,472)
3,68***
(0,304)
3,72***
(0,386)
3,51***
(0,490)
0,16***
(0,030)
0,13***
(0,034)
0,24***
(0,061)
1,46***
(0,134)
1,22***
(0,162)
1,92***
(0,239)
6,14***
(0,452)
5,55***
(0,643)
8,88***
(1,237)
1,29***
(0,149)
0,75**
(0,399)
3,60***
(0,883)
0,29
(0,636)
0,31
(0,756)
0,01
(1,180)
0,23
(0,278)
0,24
(0,323)
0,10
(0,536)
1,13***
(0,205)
1,29***
(0,251)
0,72***
(0,360)
0,02
(0,020)
0,02
(0,024)
0,04
(0,035)
0,00*
(0,000)
0,00*
(0,000)
0,00
(0,000)
391
0,44***
(0,110)
0,34***
(0,128)
0,65***
(0,212)
0,37***
(0,120)
0,42***
(0,141)
-0,24
(0,227)
0,49***
(0,074)
0,43***
(0,089)
0,64***
(0,134)
18,03***
(0,851)
18,51***
(1,019)
17,69***
(1,661)
/lnsig2u
2,20
(0,062)
2,21
(0,074)
2,12
(0,116)
sigma_u
3,01
(0,093)
3,03
(0,112)
2,89
(0,167)
rho
0,73
(0,012)
0,74
(0,014)
0,72
(0,023)
27 748
20 217
7531
7064
5033
2031
3,9
3,7
11
11
11
1816,72
1278,31
549,71
, %
85,93
86,66
84,85
RAMSEY test
chi2(1)
117,71
101,33
18,35
LR chi2
Prob > chi2
Prob > chi2(1)
392
tobit-
4.

46,28***
(6,807)
19,57***
(0,517)
19,15***
(0,577)
-20,90***
(1,126)
14,25***
(4,999)
20,45***
(5,338)
23,50**
(13,174)
7,56***
(0,341)
7,46***
(0,393)
7,75***
(0,678)
54,97***
(14,871)
49,39***
(17,829)
73,89***
(27,970)
57,84***
(14,544)
59,95***
(18,459)
57,70***
(24,856)
84,24***
(26,120)
95,16***
(14,467)
98,82***
(17,572)
106,41***
(14,264)
106,18***
(17,354) 106,78*** (25,626)
175,51***
(14,770)
171,31***
(17,969) 182,15*** (26,465)
7,24***
(1,324)
5,27***
(1,455)
-14,31***
(3,023)
68,45***
(5,952)
53,11***
(6,967)
-99,55***
(11,478)
177,41*** (42,601) 175,86*** (26,859) -194,62*** (76,799)
7,61
(43,126)
19,57
(18,506)
-28,56
(69,235)
4,43
(28,328)
10,13
(32,534)
14,67
(57,634)
0,69
(12,908)
0,53
(14,489)
5,14
(27,770)
75,79***
(9,278)
82,73***
1,21
(0,886)
0,58
(1,014)
-3,43**
(1,812)
0,00***
(0,002)
0,00**
(0,002)
-0,01**
(0,006)
(10,739) -58,05*** (18,444)
17,76***
(4,851)
15,70***
(5,395)
23,58***
(10,576)
15,32***
(5,359)
19,48***
(5,991)
-4,41
(11,456)
19,54***
(3,157)
15,57***
(3,610)
29,32***
(6,394)
829,23***
(37,697)
816,96***
(42,797) 909,82*** (81,441)
147,84
(3,191)
141,87
/sigma_u
393
(3,624)
159,34
(6,506)
/sigma_e
rho
100,45
(1,286)
97,10
(1,453)
108,01
(2,678)
0,68
(0,010)
0,68
(0,012)
0,69
(0,020)
27 649
20 150
7499
7048
5024
2024
3,9
3,7
11
11
11
LR chi2
2620,89
1857,43
788,33
Prob > chi2
0,0000
0,0000
0,0000
394
logit-
5.
.
0,77***
(0,101)
0,09***
(0,010)
0,07
(0,093)
0,02***
(0,007)
0,41
(0,333)
0,53*
(0,324)
0,61**
(0,317)
0,66***
(0,317)
0,83***
(0,314)
0,02
(0,029)
0,04
(0,154)
0,25
(0,361)
0,61***
(0,264)
0,56***
(0,187)
0,04***
(0,020)
0,32***
(0,092)
(0,090)
0,04
0,06
(0,068)
6,28
(0,685)
3,48
(0,678)

Wald chi2
4896
143,65
Prob > chi2
Pseudo R2
0,0296
, %
57,52
, %
55,74
, %
1,78
.., 2013
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(2,46%), (2,18%) (1,74%). ( ) :
(16,76%), (1,69%), (2,41%) (2,98%)1.
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2011 .
400
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48,8
46,6
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91,8
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, :
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, ,
. ( 26000) .
(., ,
[26; 16; 21; 11]).
. [21] 20012007 .

(y), .
3
lnTC = 0 + 1 ln y + 0,5 2 (ln y)2 + j lnw j +

j =1
+ jk lnw j lnwk + ln y lnw j + ,

j =1 k =1
j =1
; w1 ( /
); w2 (
/ ); w3 ( / ).
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.
:
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,
.
2008 .
2011 .
(URL: cbr.ru)
.
.
,
. , :
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.
406
2.

( 11115 11112)

TC
( 21000),
( 26000
26100)
( 26100)
Corp_loans
Ret_loans
Other_loans
labor

( 26100)
funding

( 21000)
other_exp
(
26000 26100)
Leverage

() STATA 11. . 3.
P-value F-
2
. Rwithin
, .
(rho= 92,9%) .
(corr (ui, xb) = 0,5222),
.
, -
407
3.

P-value
Ln(corp_loans)
0,356
0,109
Ln(corp_loans)^2
0,091
0,000
Ln(ret_loans)
0,814
0,000
Ln(ret_loans)^2
0,037
0,001
Ln(other_loans)
0,298
0,129
Ln(other_loans)^2
0,068
0,000
Ln(labor) ln(other_exp)
1,581
0,000
Ln(funding) ln(other_exp)
0,079
0,812
(ln(labor) ln(other_exp))^2
0,000
0,933
(Ln(funding) ln(other_exp))^2
0,012
0,454
(Ln(labor) ln(other_exp)) (Ln(funding)

ln(other_exp))
0,022
0,478
Ln(corp_loans) Ln(ret_loans)
0,086
0,000
Ln(corp_loans) Ln(other_loans)
0,111
0,000
Ln(ret_loans) Ln(other_loans)
0,029
0,111
Ln(corp_loans) (Ln(labor) ln(other_exp))
0,013
0,533
0,013
0,567
Ln(corp_loans) (Ln(funding) ln(other_exp))

Ln(ret_loans) (Ln(labor) ln(other_exp))
0,010
0,542
Ln(ret_loans) (Ln(funding) ln(other_exp))
0,020
0,337
Ln(other_loans) (Ln(labor) ln(other_exp))
0,064
0,003
0,044
0,014
Ln(other_loans) (Ln(funding) ln(other_exp))

Ln(leverage)
1,287
0,001
Ln(leverage)^2
0,388
0,000
R2 whithin
0,9479
Corr (u_i, xb)
0,5222
Prob > F
0,000
Rho
0,929
F-test that all u_i = 0:
0,000
: ( )
,
.
408
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brain gain ? (30) ,

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1. Atkeson A., Ohanian L.E. Are Phillips Curves Useful for Forecasting Inflation? // Federal Reserve Bank of Minneapolis Quarterly Review. 2001. Vol. 25. No.1.
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A Factor-Augmented Vector Autoregressive (FAVAR) Approach // Quarterly Journal
of Economics. 2005. Vol. 120. No. 1. P. 387422.
3. Scott B., Fisher J.D.M. In Search of a Robust Inflation Forecast // Federal
Reserve Bank of Chicago. Economic Perspectives. 2004. Vol. 28. No. 4. P. 1231.
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Federal Reserve Bank of New York Current Issues. 2000. Vol. 6. No. 4. P.16.
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Credit and Banking. 2006. Vol. 38. No. 5. P. 11271148.
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457
11. Stock J.H., Watson M.W. Forecasting Inflation // Journal of Monetary Economics. 1999a. Vol. 44. No. 2. P. 293335.
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15. Timmermann A. Forecast Combinations // Handbook of EconomicForecasting / G. Elliott. C.W.J. Granger, A. Timmermann (eds). 2006. Vol. 1.
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. 2010. 8.
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476
22. Benavides G. Price Volatility Forecasts for Agricultural Commodities: An Application of Volatility Models, Option Implieds and Composite Approaches for Futures Prices of Corn and Wheat // Finance. 2009. Vol. 3. Iss. 2. P. 4059.
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Samples // Journal of Business and Economic Statistics. 2001. Vol. 19. No. 2. Apr.
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,
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498
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,

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.
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(-),
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, .
***
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, .

.
, -
499
, ,

.
1. .., .. .
WP10/2011/02.
2. .., .. : , , /
, . -. -. .: , 2009.
3. .. // . .
2006. 5.
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the Global Credit Crunch? // International Marketing Review. 2009. Vol. 26. No. 6.
P. 674687.
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500
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19. www.EthicalConsumer.org
.., 2013
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3) .

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528

1. .. //
. 2002. . 6. 4.
2. . / . . 2- . .,
2006.
3.
/ .. , .. , .. .;
. .. . ., 2010.
4. Box G., Jenkins G. Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day, 1970.
5. Granger C.W.J. Seasonality: Causation, Interpretation, and Implications //
Seasonal Analysis of Economic Time Series. NBER. 1979. P. 3356.
6. Kuiper J. A Survey and Comparative Analysis of Various Methods of Seasonal Adjustment // Seasonal Analysis of Economic Time Series. NBER. 1979.
P.5796.
7. Lovell M.C. Seasonal Adjustment of Economic Time Series and Multiple
Regression Analysis // Journal of the American Statistical Association. 1963. Dec.
P.9931010.
8. Nerlove M. Spectral Analysis of Seasonal Adjustment Procedures // Econometrica. 1964. July. P. 241286.
529

1
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III
IV
I
II
III
.
.
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.
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.
.
.

. 3.3.
*

%BUB

%FTFBTPOFE

I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
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II
III
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I
II
III
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.

. 3.4.
535
:
f
2,863301
0,84654
a2
0,076569
RSS
b1
0,009541
b2
0,024276
TSS
24,37785
c1
0,060409
c2
10,17205
R2
0,900782
a1
2,418728
-T

4FBTPOBMJUZ
&TUJNBUFE

I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
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.
.
.
.
.

. 3.5.

%BUB
%FTFBTPOFE

I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
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. 3.6.
536
:
f
3,126849
0,03655
a2
4,562068
RSS
b1
0,137588
b2
0,024468
TSS
2604,072
c1
0,16126
c2
3,11997
R2
0,756503
a1

4FBTPOBMJUZ
&TUJNBUFE
634,0845
(T

I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
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II
III
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.
.
.
.
.
.

. 3.7.

%BUB
%FTFBTPOFE

I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
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III
IV
I
II
III
IV
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.

. 3.8.
537
:
f
3,117692
a1
49,61676
a2
12,28162
RSS
219170,2
b1
0,048818
b2
0,086918
TSS
1642937
c1
3,96197
c2
1,185973
0,866599

*NT
4FBTPOBMJUZ
&TUJNBUFE

I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
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II
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. 3.9.

%BUB
%FTFBTPOFE
*N

I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
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II
III
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.

. 3.10.
538
:
f
3,11896
62,2688
a2
9,256547
RSS
b1
0,024169
b2
0,084946
TSS
491600,8
c1
0,73878
c2
1,106768
R2
0,856075
a1

4FBTPOBMJUZ
&TUJNBUFE
70753,7
$T

I
II
III
IV
I
II
III
IV
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II
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IV
I
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. 3.11.

%BUB
%FTFBTPOFE

I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
III
IV
I
II
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. 3.12.
539
:
f
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a1
33,70754
a2
12,11067
RSS
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b1
0,044616
b2
0,073568
TSS
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c1
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R2
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543
.
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,
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: (cash flow approach)
(hypothetical security approach).

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t0
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t0 .
, [10, p. 104].
[Ibid., p. 106],
. ,
,
LIBOR, .
100 .,
1 . .
544
:
4
NPV ( Swap ) = CFi Z i ,
(1)
i =1
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, , .

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.
, ,
, :
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Z
Z 2
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F1
F1
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F1
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CF2
Z 2
Z 3
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,
F2
F2
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.
[10, p.107]
,
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545
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dollar value) , 0,01 .. .

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'
# 360 &

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, :
4
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i =1

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=
.
S
S
S
548
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Z
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F
F3
i =3
3
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F2
F2
(2).

, ,
[10, p. 115].
549
.
. , .
,
, .

, -.
,
. , 40 ,
10 ,
,
. ,
MOSPRIME , .
5 .
, , MOSPRIME
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1 10 . 28.12.07
2007 ., . ,
-.
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.
550
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o
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5,82%. , 100 .,
105,82 . ,
, ,
3
., : [9, . 78].
551
. ( 6,345%) :
$100 =
$6,345
$106,345
+
.
(1 + 5,82%) (1 + r2 )2
r2 = 6,374%.
Microsoft Excel, Goal seek.
10 , . 1.
1
Date
Curve, %
3,210
4,710
4,950
6,090
Date
2 3 4
Curve, % 6,661
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6,560
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10
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(. 2).
,
15 ( 09.01.08 29.01.08).
(. 3).
, . , ,

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. 2
552

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,
.
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28.12.07.
.
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2
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20 000 000
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554
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28.12.07.
, NPV , . ,
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( (2)). (2)
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-
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.
=
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295,06 .
, NPV (, . 5).
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. (. 3).

/17
/17

. 3
556
, ,
NPV . ,
. , .

.
, .
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,
,
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, . ,
,
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: t0 , .
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.

, , , . , .
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557

1. .. Libor, Euribor, MosPrime // . 2011.
7 .
2. . :
. .: , 1998.
3. ., ., . - / . .;
. . .. . .: , 2011.
4. .. -: . .: , 2010. ( .)
5. . . .: , 2010.
6. ( ). 1- RUONIA.
7. .. , . 6- . .: , 2008.
8. .. : . .: , 2011.
9. .. :
. . .: . , 2006.
10. Burghardt G. The Eurodollar Futures and Options Handbook / Library of
Congress Cataloging-in-Publication Data.
11. Deaves R., Parlar M. A Generalized Bootstrap Method to Determine the Yield
Curve. DeGrote School of Business, McMaster University, Hamilton, Ontario. 1999.
12. http://www.bbalibor.com/bbalibor-explained/the-basics
13. http://www.cbr.ru/hd_base/mosprime.asp
14. http://www.cmegroup.com/trading/interest-rates/stir/eurodollar_learn_
more_education.html
15. http://www.finam.ru/dictionary
16. http://www.kommersant.ru/doc/1293899
558
559
Overnight
(1)
3,210
3,500
2,250
2,290
2,620
2,810
2,420
2,170
2,250
2,500
3,460
2,920
2,670
3,290
4,040
4,640
28.12.07
09.01.08
10.01.08
11.01.08
14.01.08
15.01.08
16.01.08
17.01.08
18.01.08
21.01.08
22.01.08
23.01.08
24.01.08
25.01.08
28.01.08
29.01.08
4,560
4,160
3,860
3,880
3,960
4,000
3,580
3,600
3,560
3,580
3,580
3,520
3,580
3,730
4,180
4,710
1
(7)
4,460
4,080
3,960
4,080
4,130
4,170
4,020
4,060
4,040
3,980
4,000
4,000
3,920
4,060
4,700
4,950
2
(14)
4,960
4,850
4,710
4,750
4,750
4,780
4,550
4,590
4,590
4,640
4,700
4,670
4,650
4,780
5,680
6,090
1
(31)
5,560
5,500
5,500
5,580
5,540
5,500
5,520
5,500
5,460
5,460
5,500
5,420
5,540
5,740
6,190
6,560
2
(61)
5,900
5,860
5,830
5,850
5,880
5,830
5,750
5,750
5,720
5,750
5,720
5,750
5,880
5,970
6,390
6,710
3
(92)
6,430
6,370
6,350
6,310
6,310
6,330
6,270
6,250
6,250
6,290
6,190
6,250
6,210
6,310
6,740
6,920
6
(181)
6,010
5,990
5,950
5,915
5,916
5,960
5,970
5,945
5,861
5,850
5,850
5,775
5,890
5,820
6,060
6,175
1
(365)
3. , %
560
6,692
6,734
6,375
6,318
6,326
10.01.08
11.01.08
14.01.08
6,978
6,982
6,488
6,440
6,439
6,438
6,517
23.01.08
24.01.08
25.01.08
28.01.08
29.01.08
6,568
6,542
21.01.08
18.01.08
22.01.08
6,865
6,496
6,455
17.01.08
6,832
6,832
6,876
6,877
6,853
6,935
6,858
6,786
16.01.08
6,758
6,397
6,373
15.01.08
6,694
6,887
6,661
6,536
(730)
09.01.08
3
(1095)
28.12.07
7,156
7,150
7,124
7,186
7,034
7,156
7,180
7,086
7,070
7,052
6,997
7,005
6,917
6,890
7,132
7,217
(1460)
7,380
7,290
7,368
7,365
7,286
7,360
7,372
7,319
7,363
7,268
7,272
7,134
7,107
7,083
7,218
7,433
(1825)
7,471
7,520
7,475
7,472
7,359
7,474
7,380
7,396
7,423
7,347
7,309
7,323
7,326
7,358
7,448
7,523
(2190)
7,569
7,574
7,570
7,568
7,517
7,557
7,514
7,529
7,518
7,531
7,485
7,485
7,314
7,578
7,540
7,568
(2555)
7,622
7,618
7,617
7,615
7,618
7,611
7,589
7,589
7,565
7,603
7,592
7,604
7,444
7,686
7,644
7,677
(2920)
7,695
7,696
7,695
7,693
7,661
7,642
7,710
7,709
7,622
7,750
7,717
7,644
7,527
7,728
7,752
7,806
(3285)
10
7,899
7,890
7,887
7,885
7,809
7,725
7,704
7,739
7,668
7,713
7,702
7,717
7,691
7,954
7,786
7,919
(3650)
4.
20
20
20
short
short
short
short
short
II
III
IV
II
III
IV
short
short
long
IV
short
III
long
II
long
long
IV
long
III
long
II
long
long
IV
long
III
long
II
long
I
short
5. NPV
NPV ( )
NPV (.)
28.12.07
3 822
3 822
09.01.08
52260
19917
10.01.08
56948
16513
11.01.08
43479
15970
14.01.08
38274
13951
15.01.08
1 097
2 095
16.01.08
13543
6 326
17.01.08
10876
1 749
18.01.08
7 071
6 010
21.01.08
36118
11278
22.01.08
25349
8 859
23.01.08
28946
8 358
24.01.08
7 531
5 076
25.01.08
3 355
2 609
28.01.08
7 054
7 676
29.01.08
41404
2 336
.., 2013
2012
. ..
..
..
: ..
..
Newton C. 16,1 . .-. . 24,7. . 1656

101000, , . , 20
./: (499) 611-15-52

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2012

lnreservesi = + 1 lnGDPi + 2 fuelexporti +

+3 vk1i + 4 vk2i + 5 propensi + i ,

lnreservest = + 1 lnGDPt + 2 propensity + t .

(2)(3), (4)(5), (6)(7). ,

Wald (6) = 2239,01

Prob > 2 = 0,0000

+ 1 log (taxt ) + 2 log (taxt 1 ) + 3 log(expent ) + 4 log(expent 1 ) +

+Dt (1 log (taxt ) + 2 log (taxt 1 ) + 3 log(expent ) + 4 log(expent 1 )).

1. .., .., .. // . 2009. 3.

fdiij = f (Firmij ;Region j ) ,

fdi (foreign direct

i, j (I j); n i; FDIj j; Distanceij

2009 (2010) ., 20082009 ., / ,

fdiij = f (Firmij ;Region j ) ,

P ( fdiij = 1) = F (Firmij ;Region j ),

f (Firmij ;Region j ) = + 1 F1ij + 2 F2 ij + ...+

+m Fmij + 1 R1 j + 2 R2 j + ...+ k Rkj + ij

( fdiij = xij + ij ), m Firm k Region. ,

x = + 1 F1ij + 2 F2 ij + ...+ m Fmij + 1 R1 j + 2 R2 j + ...+ k Rkj ,

+)m *Fmij + + 1 *R1 j + + 2 *R2 j + ...+ + k *Rkj

1. .., .. // . 2010. . 3. . 2328.

2011 . 675,3 . [24]. ,

559 790 000

227 818 000

599 030 000

211 611 000

2 726 452 000

4 098 650 000

2 954 270 000

4 697 680 000

33. Eccles R. Control with Fairness in Transfer Pricing // Harvard Business

W(t) = 1,089 W(t 1) + 5,766 s(t) S(t),

Da, Ka, Lg, Nh, S, V

Db, Kb, L, Lb, Lf, Nb

Kc, Kf, Na, Nf, O, W

, (7.2) (7.1) (3.1), :

, , ( ADF, , I(1), 4),

d(Oitgp_liq) = 3,019 d(Oitga_s) + 3,658 d(Oitgp_s) + 0,492 d(Oitga_n) + 1,436 d(Oitgp_l)

(Iitg_liq) = Oitga_liq Oitgp_liq = 1,33e8 0,793 Oitga_s +

(Iitg_liq) = 132 868 219 0,76 (Iitg_s).

+ 1,463 d(Iitg_n) + 0,122 d(Oitga_l) 0,684 d(Iitg_l) 0,073 d(Oitgp_lc),

d(Oitgp_w) = 1,8E + 08 1,498 d(Oitga_s) + 1,577 d(Oitgp_s) + 0,952 d(Oitga_n)

+ 0,2 Iitg_n + 0,108 Oitga_l + 0,07 Iitg_l 0,06 Oitgp_lc,

+ 0,218 Iitg_n + 0,103 Oitga_l + 0,076 Iitg_l 0,056 Oitgp_lc.

d(Oitgp_kf) = 0,77 d(Oitgp_s) + 1,22 d(Oitgp_l).

Oitgp_kf = 5 028 110 491 + 0,855 Oitgp_s + 1,031 Oitgp_l.

d(Oitga_kc) = 0,44 d(Oitga_n) 2,08 d(Oitga_l) + 2,18 d(Oitgp_l) + 0,88 d(Oitgp_lc).

L(t) + Lc(t) = S(t) + N(t).

L(t) + Lc(t) + Or(t) = S(t) + N(t).

, (15) (16) . (. 6),

3. .. // . 2002. 14; 2003. 1.

    

logw = + 1 age + 2 age 2 + 3 sex + 4 child + 5 higheduc +

Proffesion + Region+ Ties+ .

* p < 0,1; ** p < 0,05; *** p < 0,01.

logW = + 1age + 2 age 2 + 3 sex + 4 mar + 5 child +

* p < 0,1; ** p < 0,05; *** p < 0,01

( t-. = 0,499), (t-. = 4,582***).

North, Central, Volga,

Mil, man, profh,

Family, friends, inv

Ties, weak, strong

Small, med, large

+)m Fmij + + 1 R1 j + + 2 R2 j + ...+ + k Rkj

* p < 0,1; p < 0,05; * p < 0,01.

* p < 0,1; p < 0,05; * p < 0,01

* p < 0,1; p < 0,05; * p < 0,01.

* p < 0,1; p < 0,05; * p < 0,01.

* 1%-; 5%-; * 10%- .

* 1%- ; 5%- ; * 10%- .