Seminar of Department of Theoretical Economics by Alexandr Smirnov «Stochastic Linear-Logistic Dynamics of Macrofinancial Capital Ratio and Leverage»

Dear colleagues,  

Department of Theoretical Economics invites you to take part in the seminar that will be held  on the 13^th of February at 3:00 p.m., address: Shabolovka 26, building 1, room 1302

Working language of the seminar -  English, Russian.

Speaker: Smirnov Alexandr, Professor of the Department of Theoretical Economics 

Topic of the seminar:  “ Stochastic Linear-Logistic Dynamics of Macrofinancial Capital Ratio and Leverage”

Abstract:

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.

You can download additional information here.

We look forward to welcome you at the seminar!