ФИНАНСЫ И КРЕДИТ

2311-8709

Content

Applying the committee machine method to forecast responses of oil prices to changes in oil reserves

Akberdina V.V., Chernavin N.P., Chernavin F.P.

Subject The article addresses oil price forecasting, being very important for all financial market actors as oil is an essential asset and any changes in oil prices have a direct influence on the entire financial markets industry. Objectives The purposes of the study are to describe the logic of developing the analytical and forecasting methods, which are used on financial markets; to devise a committee machine methodology to analyze data from financial markets; to build a real committee machine model for oil price forecasting. Methods To forecast oil prices, we apply the committee machine method with majority logic. Main sources of information on market prices and oil reserves include websites of FINAM company, Investing.com, and Bloomberg analytical platform. Results Constructed committee machines with majority logic of 3 and 5 members are the results of the research. To build the models, we analyzed intraday quotes on the day of the EIA report publishing and changes in oil supplies from 11 February 2009 to 9 August 2017. Based on the analysis and comparison of the models' quality, we built a model to forecast heightened volatility of oil prices after the EIA report release. Conclusions The findings show that the committee machine method can be used as a tool to forecast oil price changes.

A revolving fund as a tool to perfect the funding of infrastructure projects for solid municipal waste utilization in Russia

Latypova M.V.

Importance The article addresses revolving funds as a tool to finance the infrastructure for municipal solid waste (MSW) management. Objectives The aim of the paper is to develop schemes of revolving fund functioning. The latter contributes to increasing the efficiency of environmental and utilization fees and improving the financial mechanism of municipal solid waste management system. Methods The study draws on comparative analysis and modeling. Results The paper substantiates the need for applying the revolving fund mechanism. It can solve the problem of using the environmental and utilization fees. I single out the main elements of the revolving fund mechanism and identify legal and economic problems that hamper its implementation. The article includes recommendations for the said funds implementation. Conclusions and Relevance Mobilization and efficiency of using domestic sources to finance infrastructure projects for MSW management are extremely important under unfavorable economic conditions and State budget deficit. The paper offers revolving fund schemes that will improve the efficiency of environmental and utilization fees.

Cognitive modeling of factors of financial market stability of Russia

Badvan N.L., Gasanov O.S., Kuz'minov A.N.

Importance The paper highlights the financial market stability. It is one of the most important components of economic growth ensuring. Objectives The article is to draw up a cognitive map of the Russian financial market. It also aims at modeling changes in its segments and finding the main stability factors of the national financial market. Methods The research involves methods of cognitive analysis and cognitive modeling. Results Cumulative effect of all segments of the financial market forms its stability. The Russian financial market is most sensitive to changes in the monetary and currency markets, corporate and government borrowing market. There is a significant relationship between the market liquidity and its stability. It is necessary to form free resources storage in ruble assets. The dependence of the domestic market on international financial markets remains despite sanctions restrictions. Conclusions and Relevance Achieving financial stability requires constant attention to liquidity in the market and predictability of the national currency. The priority direction of the state financial policy is establishment of relations between the leading players in the world financial markets and international financial institutions. Experts can apply the results of this work in the financial and monetary policy formation.

Determination of reserves and factors of efficiency growth of production equipment use

Gryazev M.V., Papyan G.R.

Importance The article defines the factors of efficiency growth of the industrial equipment use. It also considers the influence of technical innovations and enterprises functioning features on the performance level of work means. In Russia, the problem of efficiency increase of the industrial equipment use is urgent. It happens because managing subjects competitiveness depends on the achieved performance level of facilities. Objectives The paper aims to determine the basic reserves and factors of efficiency growth of industrial equipment use. Methods The research involves the theory of systems and economic growth as well as general analysis and synthesis scientific methods. Results The article establishes that the external growth reserves get formed as the result of technical innovations occurrence. The work states that internal growth reserves depend on the condition and level of loading of the enterprise equipment. Conclusions and Relevance The paper shows the interrelation between reserves and factors of the industrial equipment usage. The reserves distribution reveals the construction of a control system by productivity of the enterprise means of work. Steady efficiency growth of the tool use increases the production volume and the competitiveness level.

Developing a stochastic model for medium-term forecasting of cryptocurrency exchange rate: The bitcoin case

Safiullin M.R., El'shin L.A., Abdukaeva A.A.

Importance The article considers the process of economic and mathematical modeling of time series characterizing the volatility of bitcoin exchange rate on the basis of autoregressive moving average models. Objectives The purpose of the work is to provide a scientific rationale for tools and mechanisms to forecast the cryptocurrency market development. Methods The study rests on tools of stochastic analysis of stationary and non-stationary time series characterizing the volatility in the global cryptocurrency market. Results We prove that ARIMA models enable to predict current and future adjustments of cryptocurrency exchange rates with a high level of accuracy. Conclusions and Relevance We found that by the end of the third quarter of 2018, the bitcoin market value will be about 11,000 USD. The methodological approaches of modeling help define future trends and fluctuations of exchange rates over the entire forecast period. The findings are of practical interest for both the public authorities and representatives of business community.

Ensuring investment attractiveness of the insurance industry by planning the expected shareholder profit in the conditions of risk

Tsvetkova L.I.

Importance Low investment attractiveness of insurance business impedes the expansion of insurance role in economy. The share capital risk level and the provided joint-stock profit do not compile one another. The subject of the work is planning of activity indicators of the insurer in order to level such discrepancy. Objectives This article deals with conflicts of interests of insurers and shareholders. The paper aims to solve the problems by planning management indicators both formed by shareholders capital and the insurers capital. Methods The author uses financial model of usefulness assessment of the capital. It takes into account risk and the model of exponential capital growth. The model forms a method of assessment of payment for ensuring interests of both the insurer's principals. Results The offered technique allows to plan the net-premiums volume under existing contracts. It is necessary for providing the forthcoming obligations of the insurer. Conclusions and Relevance The research states that such estimation of insurance cost will allow to strengthen reputation of insurance companies and help to attract both consumers and investors.

Foreign experience in air emissions taxation: Economic value and areas for reforming

Tyurina Yu.G., Troyanskaya M.A.

Subject The article investigates foreign system of environmental taxation. Objectives The study aims to review the economic importance of air emissions taxation in the foreign practice and consider the feasibility of reforming the air emissions taxation in various areas. Methods The study draws on the monitoring of works devoted to environmental taxation, using the methods of logical and statistical analysis. Results The study shows that environmental taxes do not fully cover the detrimental effects of emissions and rather perform regulatory functions than fiscal ones. The global experience demonstrates that revenues from environmental taxes form trust funds and are used exclusively for environmental protection program financing. The paper reviews possible reforms in environmental taxation. Conclusions and Relevance There is a need to reform the environmental taxation. It is crucial to provide for authorized obligations of each participant in the Paris Agreement to reduce the emissions of carbon dioxide; to introduce a two-level carbon transport tax, taking into account the level of CO2 emissions and the type of fuel used; to link the amount of fines for environmental offenses with economic benefits and ecological damage; to introduce tax incentives and preferences for producers and users of highly effective green solutions.

Improving the methods to assess interbank competition: Analysis of concentration on the basis of modified structural index

Skorlupina Yu.O.

Importance The existing methods to assess the competition in the banking sector can yield different results. This demonstrates their imperfection and the need for modification. Improvement of these methods acquires special relevance, when it is necessary to compare competition in the banking sector of different countries due to the different number of banks in them. Objectives The study aims to obtain an adequate assessment of competition in the banking market under several methods, and to eliminate the shortcomings of traditional assessment methods. Methods Using general scientific methods of research, I conclude that it is expedient to apply traditional structural indexes of concentration assessment in different countries. Statistical methods help assess the concentration by means of various indicators. Results It is important to perfect the structural index of concentration, i.e. concentration assessment on the basis of one percent share of banks in the banking sector. This enables to perform a more adequate assessment of competition in the banking sector considering different number of banks in the banking sectors of different countries. Conclusions and Relevance The Russian banking market demonstrates high concentration, which is confirmed by actual data about real domination of several largest banks in the market and fierce competition in the 'remaining' part of the sector.

On attracting the U.S. direct investments into the Japanese economy

Koshko O.V., Romanova E.M.

Subject The article examines major trends in attracting foreign direct investment (FDI) of transnational corporations (TNC) of the United States into the Japanese economy. Objectives The purpose is to study new features and trends in the export of U.S. direct investment to Japan in the late 90's - early 2000's, identify measures aimed at attracting overseas capital to the Japanese economy and determine what Japan is doing to increase it, analyze main problems in attracting foreign funds. Methods The study employs methods of scientific abstraction and statistical analysis based on foreign literature. Results We analyzed major trends in the investment cooperation between the USA and Japan, defined prospects for U.S. direct investment in the economy of Japan, FDI volume, dynamics and structure, considered problems and prospects for attracting direct investment of U.S. TNCs in the economy of Japan. Conclusions and Relevance For recent decades, Japan has created a favorable environment for further attraction of foreign direct investment through a number of structural reforms, and constantly diversifies this sphere. There are some problems related to economic policy of the USA, which is targeted at improving the investment climate in the country. The prospects for bilateral investment cooperation between the USA and Japan are very uncertain. Mutual trade, economic and investment cooperation with Japan and other Asia-Pacific countries are unclear.

Performance budgeting as a tool to nurture economic growth in Russia

Masterov A.I.

Importance The article investigates performance budgeting as a tool for anti-recessionary boosting of the Russian economy. It shows how to improve the management of investment projects financed from the State budget. Objectives The aims are to analyze key problems impeding further economic growth and explain the role of performance budgeting in the implementation of the government’s enabling policies. Methods Using the methods of dynamic, factor, and systems analysis, I demonstrate the most urgent problems of the Russian economy. They may be solved, if enabling policies are applied by the State, using the result-oriented budgeting. Results The paper unveils key problems, which hamper further development of the Russian economy, and shows the importance of State enabling policies to solve them. Under economic crisis and scarce budgetary resources, the role of result-based budgeting increases, when the government implements its supportive policies. I substantiate the need to improve investment planning and investment project management. Conclusions and Relevance Factors underlying the current structural crisis include a high level of depreciation of fixed assets in key sectors of the economy. It affects adversely the productivity and competitiveness of Russian companies and, as a consequence, household incomes and effective demand. Under scarce budgetary resources and investment shortfall, the enabling State policies that are based on performance budgeting are crucial. The article includes recommendations on creating conditions for improving the efficiency of key investment project management.

Priorities of banking operations development in expanded reproduction based on technological cooperation of producers

Mazhigova E.M.

Subject In the transforming economy, the role of bank capital and financial intermediaries becomes increasingly systemic, as they can significantly reduce transaction costs and risks. However, modern commercial banks have stopped meeting the needs of expanded reproduction in the formation of mass channels for transformation of savings into investment. Objectives The purpose of the study is to identify priorities of banking activities in the disintermediation processes that enable to solve innovation and investment problems of Russian reproduction. Methods Using the analysis, I investigate new trends in financial intermediation and show the inability to provide for investment financing of all economic sectors. On the basis of systems approach, I define those parts of the structure and organization of the national economy, where expanded reproduction and concentration of financial resources are required. Results I propose to define areas and organization of bank lending to extended reproduction on the basis of vertical cooperation of innovation-oriented small and medium-sized enterprises with large companies. The findings may be useful for developing the new technological bases of banking in the modern economy. Conclusions To effectively develop banking activities, it is advisable to apply measures to increase the availability of bank lending based on technological cooperation of producers. It will ensure the system's effective adaptation to challenges of the disintermediation process in the financial sector, and enhance the banking sector's function in the modern Russian reproduction.

Studying the value drivers of banking business

Frolova V.B., Khan' T.F.

Importance The article considers a set of methodological and practical aspects to assess the banking business. Objectives The aim is to review financial performance of Russian and foreign banks to identify factors that shape the value of banking business. Methods The study rests on systems approach, method of comparison with the use of elements of graphical, factor and correlation, and regression analysis. Results The paper analyzes the largest banks of Russia, Europe and Asia. We highlight the key factors of bank's value. The study proposes a regression model, reflecting the peculiarities of the factors' impact on the value of credit institutions. Conclusions and Relevance The value drivers of credit institutions include a strong position in capital adequacy compliance requirements of the Central Bank of the Russian Federation, ability to attract funds at a reasonable cost, a reasonable balance between loan portfolio's margin and risks, effective cost management. To maximize the bank's value, it is important to determine the components and specific features of banking business that affect its worth. The introduction of value-based approach to Bank management can ensure sustainable functioning of credit institutions.

The effect of auditor reputation on profitability of bank assets

Farrakhova G.N.

Subject The article addresses external audit of banks and the influence of bank audit on bank activities, analyzes factors impacting the bank profitability, and the degree of influence of audit firms on bank operations. Objectives The aim is to review various classifications of audit firms and their impact on profitability of bank assets. Methods I employ a regression analysis using linear models with fixed individual effects. The Mobile database that includes various financial and accounting indicators of Russian banks from 2005 to 2016 serves a major resource for the study. Results The fact that an audit firm belongs to the Big Four has a positive impact on the profitability of bank assets in the next period. The market share and specialization of the audit firm have no effect on this indicator. Conclusions Every year banks face the choice of an auditing company. The choice in favor of the Big Four is quite justified: large banks benefit from the reputation of the audit firm, which influences their profitability despite significant cost of audit services. Small banks should choose other than the Big Four audit firms to reduce the cost of audit.

The financial mechanism of management organizations in the field of housing and communal services: Deformation problems

Sukharev A.N., Golubev A.A., Karaseva L.A.

Importance The article considers the system of internal and external financial relations of managing organizations in the sphere of housing and communal services. Objectives The article aims to reveal the specifics and problems of the financial mechanism of managing organizations in the housing sector. Methods The basis of the research is formal logic and the systems approach to the study of financial and economic aspects of the activities of economic entities. Results The article presents certain results of research of a complex of financial and economic problems of managing companies in the sphere of housing and utilities. The article highlights the problem of insufficient financial resources to finance the working capital needed to provide housing and utilities services and shows the way to solve this problem. Conclusions Owners of managing companies are not interested in obtaining legal profits, and their financial risks are almost nil due to the small size of the authorized capital.

The role of the banking system in lending to the region''s economy

Sofronova V.V.

Importance The article deals with economy provision of the Nizhny Novgorod oblast with bank loans. It studies the impact of the banking system in the region on increasing the role of credit in the economy. Objectives The goal of the paper is to assess the banking system of the Nizhny Novgorod oblast and offer ways to adjust the bank regulation system in the region. Methods The research uses methods of logical and statistical analysis, observation, generalization and classification. Results The banking system of the region undergoes restructuring. It does not provide sufficient credit resources. The region is on the verge of payment crisis. The level of banks' participation in investment processes is very low. Conclusions and Relevance I offer criteria to assess the adequacy of the banking system's regional segment in the form of a share (quota) of banking capital in the total capital of credit institutions located in the region. The paper proves that it is expedient to include instruments of strategic planning of attraction and placement of temporarily disposable monetary resources in bank regulation and to coordinate the plans with programs for regional economy restructuring. It is urgent to strengthen the role of executive authorities in managing the banking system of the region.

Unsecured intraday credit as a method to manage credit risk in the payment system

Masino M.N.

Subject The article considers specifics of using the unsecured intraday credit as a way of credit risk management in payment systems. Objectives The study aims to develop methodological approaches to applying unsecured intraday credits with regard to mechanisms of calculating the limit on the available volume of unsecured intraday credit set by a settlement center of a payment system (PS). Methods I use international standards of the Committee on Payments and Market Infrastructures of the Bank for International Settlements, and international standards on risk management (ISO 31000 group) as a base for the research. Results I developed a mechanism to calculate a limit of unsecured intraday credit with the use of data available to the payment system operator without involvement of additional information from PS participants. The article considers a possibility to apply the proposed method of credit risk management in accordance with the procedure provided in the ISO 31000 group standard. Conclusions The mechanism to calculate the limit of unsecured intraday credit may be viewed as an efficient tool to mitigate credit risks of the PS. The practice of defining the limit of unsecured intraday credit without involvement of additional data from PS participants will enable the settlement center of the PS to quickly define the financial stability of PS participants.

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