Научный семинар Департамента теоретической экономики - выступление Смирнова Александра Дмитриевича на тему: «Stochastic Linear-Logistic Dynamics of Macrofinancial Capital Ratio and Leverage»

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Приглашаем вас посетить научный семинар Департамента теоретической экономики, который состоится:

13 февраля 2018 года в 15:00 по адресу: ул. Шаболовка 26, стр.1, ауд. 1302

Рабочий язык семинара: русский и английский

В рамках семинара выступит: Смирнов Александр Дмитриевич, профессор Департамента теоретической экономики

Тема доклада: «Stochastic Linear-Logistic Dynamics of Macrofinancial Capital Ratio and Leverage»

Аннотация доклада: 

The current financial system, relative to real economy, became too large and preoccupied mainly with itself. This qualitative statement was made operational in a simple “linear-logistic” framework that facilitated uniform analysis and simulation of macrofinancial assets, capital and debt. The duality of collateral ratios and rates of return was used in modeling of two coupled continuous subsystems: linear - for the capital ratio, and the logistic - for the leverage. Stationary probability density functions of the appropriate stochastic processes, together with macrofinancial benchmarks - the anchor leverage and the natural rate of refinancing - were used as descriptors of their long term behaviour. For stationary distributions the most probable capital ratio was stuck at its deterministic steady state while the most probable leverage (the mode of gamma distribution), if it existed, was smaller than its steady state and expectation. Thus, balancing of the aggregate debt supply and demand at the anchor leverage might squeeze the bloated debt markets in the long run making financial intermediation more compact and efficient.

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