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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
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..............76
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.................................107
..

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

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

.................195
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: .......................217
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...........................239
..

....................261

..
........................................291
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: ...........314
..
robo-signing

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

..................365
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.............................................396
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.......................................................................415
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:
............................................435
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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 +

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

i .
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,
, ,
. , 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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.


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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.

. -, . R2. :
, R2 , ,
( (4) , , ).

,
.

15

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16

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)
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(2)(3)

(4)(5)

(6)(7)

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, 2005
2006 . .
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2006 .1
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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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) ,
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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.
9. Cavalcanti T.V., Mohaddes K., Raissi M. Growth, Development and Natural
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


. , ,


.
, .

, .

, ,

, .

.
.

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( 19771980 19901992, 19821984,
19901993, 19901994 .)
( 19831986, 19871989, -

32

19901994 .). ,
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(19901993),
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( 70%),
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35

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19902000 ., , ,
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3. :
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], , .
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: 1993 . 2010 .,
.
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).

3.3.
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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- .
,

,
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, , , , . ,
, . [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
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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***

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. 4

49

I(1)

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

53

2. ..
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1. .. : , , . . . 9 -2020
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2. .. : // XIII
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1. .., .. // . 2010. . 3. . 2328.


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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11. Yudaeva K. et al. Does Foreign Ownership Matter? Russian Experience /
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105


12. .
(). , 2000. URL: http://
econom.nsu.ru/staff/chair_et/gluschenko/Research/Data/Distances.xls
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2. ., . : // . 2011. 9. . 17.

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// . 2012. 1.
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2011. 4. . 14.
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2012
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2007 . 108 , () .
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23,66

11,48

17,01

0,18

86,79

3,07

21,10

1,14

Nf

77,01

11,93

41,82

0,31

Kc

118,60

14,03

57,70

0,34

Kf

126,62

27,34

61,13

0,46

* 0 ; 1 ; 2 .

136

,
,
,
, . ( 2 3 .)
,
, ,
. 35
.
, . ,
,
. :
1) , ;
2) Ng ( . 3) , (. 4 3);
3)
(. 4).
4.

[0; 1)

[1; 3)

[3; max(Ng))*

[max(Ng); +)

* Max(Ng) 12 Ng.

3 , ,
. ,

137

q


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. 4.

( )
,
, . . (. 5).
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
0JUHB
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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. , , , , , . :

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y z . ,

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154

,
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( ) . ,
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,
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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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0,07

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

56,14

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

6,64

1,99

3,97

0,28

Nb

7,07

2,54

4,05

0,25

Db

9,12

2,48

4,86

0,33

Lb

9,49

4,30

6,38

0,17

166

Lc

105,61

0,51

9,20

1,76

Na

23,85

10,71

15,78

0,20

23,73

11,67

17,00

0,18

86,80

3,07

21,10

1,14

Nf

76,88

11,94

41,83

0,31

Kc

118,52

13,91

57,73

0,34

Kf

126,95

27,41

61,14

0,46

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167

4
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

53

0,000

10

53

0,000

10

53

0,000

10

53

0,000

10

53

168

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172

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[21].

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173

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:

174

(- family);
(- friends);
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ties, 1 0
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.
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:

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+ Ties+ .


176


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6,
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[11].
. -

177

178

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


: .

0,3289

0,3304

0,0359
(0,0359)

R2 adj

0,0097
(0,0217)

0,3290

0,072**
(0,034)

0,0340
(0,0217)

0,0303
(0,0337)

0,0370
(0,0359)

0,3295

0,3303

0,3289

0,3298

0,0023
(0,0204)

0,3304

0,088***
(0,033)

0,079**
(0,034)

0,091***
(0,032)

0,026
(0,021)

0,049*
(0,021)

0,3302

0,0198
(0,033)

0,052
(0,035)

13

12

11

0,0401*
(0,0211)

10

1. , 2010 .

, , [5],
,
; .
-
.
.
:
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

. ,

( 1 0 ) ( ).
,
, , ,
, .
, ,
.
,
,
, ,
.. ,
. , ,
.

, ,
.
, ,
( ). 0,466,
: , , , .
lnwage1,
. lnwage0,
, . 4 . . 7.
:

.

182

7.
, 2010 .


/
/

3,948

3,9701

3,936

3,898

0,751

0,554

0,735

0,368

: .

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


,
,
. ,
,
, . , , , ,

,
. ,
,
, , .
. -, , , ,

:
. -, ,
, .. , .
:
.

183

, ,

. , ,
, .


.

. ,
.

,

.

,
.
,
, .
, .
,
.
19-
: ,
.
.
, . :
, -

184

. , ,
.
: .

,
:
, ,
, .
, ,
,
.

,
,
, :
, .
, , ,

. ,

, .

- . .
, . ,
,
. ,

185

,
.

1. Boxman E.A.W., De Graaf P.M., Flap H.D. The Impact of Social and Human
Capital on the Income Attainment of Dutch Managersv // Social Networks. 1991.
Vol.13. No. 1. P. 5173.
2. Bridges W.P., Villemez W.J. Informal Hiring and Income in the Labor Market// American Sociological Review. 1986. Vol. 51. P. 574582.
3. Burt R.S. Structural Holes // The Social Structure of Competition. Cambridge, MA; L.: Harvard University Press, 1992.
4. Cahuc P., Fontaine F. On the Efficiencyof Job Search with Social Networks.
IZA Discussion Papers No. 583. Institute for the Study of Labor (IZA). 2002.
5. Coleman J. Social Capital in the Creation of Human Capital // The American
Journal of Sociology. 1988. Vol. 94. P. 95120.
6. Corcoran M., DatcherL.L., DuncanG.J. Most WorkersFind Jobs through
Word of Mouth // Monthly Labour Review. 1980. Vol. 103. No. 8. P. 3335.
7. Delattre E., Sabatier M. Social Capital and Wages: An Econometric Evaluation of SocialNetworkingsEffects // Labour. 2007. Vol. 21. No. 2. P. 209236.
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Vol. 40. No. 2. P. 199216.
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Start of the Occupational Career // Social Capital: Theory and Research / N. Lin,
K.S.Cook, R.S. Burt (eds). N.Y.: Aldine de Gruyter, 2001. P. 159181.
10. Granovetter M.S. The Strength of Weak Ties // American Journal of Sociology. 1973. Vol. 78. No. 6. P. 13601380.
11. Heckman J.J. The Common Structure of Statistical Models of Truncation,
Sample Selection and Limited Dependent Variables and a Simple Estimator for Such
Models // The Annals of Economic and Social Measurement. 1976. Vol. 5. P. 475
492.
12. Hermann Z., Kopasz M. The Effects of Social Capital on Wage Income:
AMulti-country Analysis // Corvinus Journal of Sociology and Social Policy. 2011.
Vol.2. No. 2. P. 326.
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Qualitative and Limited Dependent Variables // International Economic Review.
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186

15. Lin N., Ensel W., Vaughn J. Social Resources and Strength of Ties: Structural Factors in Occupational Status Attainment // American Sociological Review.
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You Know! // Labour Economics.Elsevier. 1994. Vol. 1. No. 2. P. 187201.
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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.


: .

.., 2013

..

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,
. .
,
. , , , .

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,
.

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, ( ).
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.
.
1945 . :
,

195

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, ..
. .
,
.
, (1950-), . 1955
1961 . ,
.
1965 1980 .
91 . 1065 .
, , ( ).
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, ,
19601990- ,
.
.

,
, .
.
30 2010 . ( ).
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.
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.
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196

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?

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. , .
, , ,
. ,
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learning-by-doing [10]), , . ,
, . , ,
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, . [8]
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, ,
.
,
. -

197

,
, , ([12; 9] .)
[12] .

.
1977 1994 .
- [9]. ,
,
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. [3]. , ,
.
. , [12] . [9] ,
.
, 16%
, ,
. (
), . , - . ,
, ,
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(., [5; 4]). . -,
, , . -,
, , :
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198

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[7] ,
, .
,
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,
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[14], [6]
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-
( ).
learning-by-doing .
[6] , , ,
learning-by-doing-
.
[11]. ()
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.

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199

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?


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: - ,
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).
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(, ), (,
).

, . ,
, .
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- -

200

, .
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.
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1.2.
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.
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pi = p W.
:
,
, ;

Ai i- , .
,
:
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:
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201

, , ,
OECD . ,
..

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, ,
.

1.3.
, .
, :
,
s.t.

Y = Y = const,
1

Y = L1 Ait1 xit di.


0

, :

=
1

1
p W 1
,
(1 )1 (At )1

At = Ait di;
0

. , .
.

202

, .
, . , :
,
f foreign, .. ;
n native, .. , , :
.
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203

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204

,
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1 ( ): .

A f = Ain di + Ai f di > Ain di + 0 di = Across ,.. 0

, : We , t <W d , t .
, ,
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,
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1.4.
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f < 1). ,
,
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205

(n < 1, f = 1). , -, .
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f (foreign) , n (native) .

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206

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,

1 = nt +WLnt +WL ft = nt +W .

1 (1 ) AnLn + AnLn 1
=
= (1 ) aLn + aLn 1 ,
0
An

An
, An = An di ..
An
0
.
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$ 1 ' < 0,! $ 1 ' > 0 .
# ! 0 & Ln
# !0 & a
a =



1




1 -O

. 2.

207

:
1

Ln 1 (1 Ln )1+ =

(1 A f )1+
An

(1 A f )1+ 1
=
.
An a

= (1 )( 1) . , Ln ( a ) > 0 ,
:
" !1 % (
" !1 % (
<
0,!
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0

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).

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=
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210

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.
, .

2.2.
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A B),
, .

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1. .
2. ( ) , .
3. .
4. R&D.
5. .
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1) ;
2) R&D.

.
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211

2.3. R&D

1.
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2. :

3. R&D , i- (p).
4. , ..
p = p(R),
5. R&D ,
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212

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213

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. 2431.
2. ..
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3. . : .
07/02. .: , 2007. ( ).
4. 23 2003 . 177-
.
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
No 2588. 2001.
8. Chernykh L., Rebel C. Does Deposit Insurance Improve Financial Intermediation? Evidence From the Russian Experiment. MPRA Paper No. 12987. 2009.
9. Demirg-Kunt A., Detragiache E. Does Deposit Insurance Increase Banking System Stability? An Empirical Investigation // Journal of Monetary Economics.
2002. Vol. 49. P. 13731406.
10. Demirg-Kunt A., Huizinga H. Market Discipline and Deposit Insurance //
Journal of Monetary Economics. 2004. Vol. 51. P. 375399.

236

11. Demirg-Kunt A., Kane E., Laeven L. Determinants of Deposit Insurance


Adoption and Design. World Bank Policy Research Working Paper No. 3849. 2006.
12. Diamond D., Dybvig P. Bank Runs, Deposit Insurance, and Liquidity // Journal of Political Economy. 1983. Vol. 91. P. 401419.
13. Dinger V., Von Hagen J. Does Interbank Borrowing Reduce Bank Risk? //
Journal of Money, Credit and Banking. 2009. Vol. 41. No. 23. P. 491506.
14. Forssbck J. Ownership Structure, Market Discipline, and Banks RiskTaking Incentives under Deposit Insurance // Journal of Banking and Finance. 2011.
Vol. 35. P. 26662678.
15. Friexas X., Rochet J.-C. Microeconomics of Banking. 2nd ed. Cambridge,
Massachusetts: The MIT Press, 2008.
16. Gan L., Wang W.-Y. Partial Deposit Insurance and Moral Hazard in Banking.
MPRA Paper No. 25798. 2010.
17. Gropp R., Vesala J. Deposit Insurance, Moral Hazard and Market Monitoring. ECB Working Paper No. 302. 2004.
18. Hellmann T.F., Murdock K.C., Stiglitz J.E. Liberalization, Moral Hazard
in Banking, and Prudential Regulation: Are Capital Requirements Enough? // The
American Economic Review. 2000. Vol. 90. No. 1. P. 147165.
19. Hooks L., Robinson K. Moral Hazard and Texas Banking in the 1920s. Federal Reserve Bank of Dallas FIS Working Paper No. 9601. 1996.
20. Ioannidou V.P., Dreu J. de. The Impact of Explicit Deposit Insurance on Market Discipline. De Nederlandsche Bank. Working Paper No. 089/2006. 2006.
21. Ioannidou V.P., Penas M.F. Deposit Insurance and Bank Risk-taking:
Evidence from Internal Loan Ratings // Journal of Financial Intermediation. 2010.
Vol.19. P. 95115.
22. Karas A., Pyle W., Schoors K. The Effect of Deposit Insurance on Market
Discipline: Evidence From a Natural Experiment on Deposit Flows. BOFIT Discussion
Papers No. 8/2010. 2010.
23. Laeven L. International Evidence on the Value of Deposit Insurance // The
Quarterly Review of Economics and Finance. 2002. Vol. 42. P. 721732.
24. Nier E., Baumann U. Market Discipline, Disclosure and Moral Hazard in
Banking // Journal of Financial Intermediation. 2005. Vol. 15. P. 332361.
25. Niinimaki J.-P. The Effects of Competition on Banks Risk Taking With and
Without Deposit Insurance. Bank of Finland Discussion Papers No. 21/2000. 2000.
26. Peresetsky A. Market Discipline and Deposit Insurance in Russia. BOFIT
Discussion Papers No. 14/2008. 2008.
27. So J., Wei J.Z. Deposit Insurance and Forbearance Under Moral Hazard //
The Journal of Risk and Insurance. 2004. Vol. 21. No. 4. P. 707735.
28. Ungan E., Caner S., zyldrm S. Depositors Assessment of Bank Riskiness in the Russian Federation //Journal of Financial Services Research. 2008.
Vol.33. No. 2. P. 77100.

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IWH Discussion Paper No. 13/2011. Halle (Saale), 2011.
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default.aspx
31. . URL: www.cbr.ru
32. banki.ru. URL: www.banki.ru
33. . URL: www.asv.
org.ru
34. 100 .

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253

 

 

 

 

 
 

 

 
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4.1.


, .. . , [12].

1000 ,
19982009 .
.
, ,
.

254

4.2.
1000
. 4.1 :
P ( default = 1) =
= (11,0584 sk _ calag 2 +14,1532 sk _ calag 2

1,9416

ln_ calag 2 + 0,0674(ln_ calag 2 )2 + 4,6421 pzs _ calag 2 1,0783


ln_oks _ calag 2 61,6552bp _ calag 2 +1053 bp _ calag 2


4,7581ncb _ calag 2 +17,0004 ncb _ calag 2

(
)
) + 2,2343d
2

(3)

09

1,4817 dq 1 +1,1198 gdp _ calag 2 + 0,1023cpilag 2 2,35lindex +


+2,96 region +1,67).


sk_ca (.4).

, 0,4. sk_ca ( 0,4) , .
bp_ca :
(. 5). 0,05.
. ,
( 10%),
(. 6). , , ,
, .

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

f (ln_ ca) =

= 1,9416 ln_ ca _lag 2_+


+ 0,0674 (ln_ ca _lag 2)2

, ,
.

256

too big to fail (. 7).


pzs_ke .
.
ln_oks_ca . ,

.


- d_09 2009 .
, .. 2009 . ( ). ,
. -, . ,

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, I
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, , .


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.
,

257

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.


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.
.

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20102011 ., .

20102011 .
3. .


:
X, %


()

()

, . (%)

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30

12 (63)

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28

10 (52)

20102011 . 19 . , ,
30%.
63% (. . 3).
, , .

258


, :
60% 20102011 . . , ,

CAMELS .
, , ,
,
. :
. ,

.
, , .
,
.
.

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

..

..

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2009
2010
2011

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20,61

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0,76

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8,18

19,55

9,41

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2009
2010
2011

1,11

1,98

6,41

27,76

11,23

103,01

1,69

1,03

0,56

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2,20

2,44

3,32

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1,592822

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1,458322

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,
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18

2,49158

5,63855

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280

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(
)

2,04015485

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(
)

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,
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), %

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. 8


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), %

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4,00%.
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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
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287

288

0,179921

0,188719

0,215669

0,580569

CPI


.
()


.
()

0,830574

0,123297

0,271613

0,281780

0,065166

0,336039

RUB/USD

0,423907

0,180343

0,356235

0,377227

0,139122

LIBOR
(year)

0,371889

0,834343

0,272131

0,206717

CPI

0,639972

0,564946

0,982831


.
()

0,648882

0,576234


.
()

0,546373

: 2000
2011.

0,587601

0,349559

LIBOR(year)

0,718631

Brent

RUB/USD

Brent

1.

289

TGC-1

19,55

11 781 351

6,48

3 901 766

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9 264 706

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. .

11 400 515

12,59
1 513 406

0,66

126 788

6 355 308

4 767 939

3,11

19 322 708

2,87

5 348 846

8,18

1 720 614

1,02

214 979

21 024 482

TGC-11

58 587 250 50 486 817

1,62

10 200 813 33 867 182

9,41

6 300 000

3,59

2 400 000

66 936 970 60 251 760

TGC-7

NPM, %

Revenues,
. .
Net Profit,
. .

EBITDA,
. .
EBITDA
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. .
Debt/
EBITDA

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. .

IFRS

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1 255 010

55 955 080

2,69

16 834 000

9,01

6 268 590

1,99

1 383 210

69 601 950

Sollers

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

212 686 490

22,13

102 982 486

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

15 038 201
1,03

14,63

4 187 889

0,56

20,05

8 350 276

7 461 510

8,77

4 471 170

50 992 263 41 649 996

22,58

TGC-1

15,81

TGC-7

1,69

3 123 846

10,61

1 844 968

5,51

958 175

17 394 025

1,73

2 621 745

7,83

TGC-11

65 773 141

2009

4,22

43 317 295

10,62

103,01

27 195 000

0,76

264 000

14,69

11,23

43 338 093

5,87

3 859 089

16,20

27,76

22 985 000

1,36

828 000

4,24

2 579 000

60 894 000

5,01

21 641 000

5,85

5 098 485 10 655 543

34 700 000

5,64

24 531 000

7,77

Sollers

6,41

252 506 010

12,66

39 423 190

2,99

9 306 040

311 433 640

3,32

238 001 170

17,55

1,98

66 098 380

20,61

33 367 890

4,31

6 979 530

161 931 470

2,44

107 498 160

18,60

1,11

47 113 453

14,70

42 282 981

12,19

35 063 597

287 569 480

2,20

190 045 950

22,01

.., 2013

: , .

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. .
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EBITDA

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294

295

17,000

69,000

139,350

212,300

379,150

15,0

25,0

28,0

33,0

35,0

379,150

212,300

139,350

69,000

17,000

But Not
Over, .

35,0

33,0

28,0

25,0

15,0

10,0

Marginal
Tax Rate,
%

106,150

69,675

34,500

8,500

But Not
Over,
.

189,575

106,150 189,575

69,675

34,500

8,500

Over,
.

Tax Brackets

Married Filing Separately

35,0

33,0

28,0

25,0

15,0

10,0

Marginal
Tax Rate,
%

174,400

83,600

34,500

8,500

But Not
Over,
.

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),
, .
,
,
. , , .
, .
,
.
,
, .
,
, ,
.
, ( 35%).
,
, ,
, , . ,
12- ,
15%.
, , .. ,

,

296

. , ,
,
.
,

( 35% ,
12 ) (15%).

2.

2.1.
, , , / .
,
, .
,
.
. , , ,
.
. , , :
, - , -
, .
, ;
.
1. , . ,
. -, ,
, , -

297

. -, , , . 1.2.
2. , .
,
(). , . , .
3. ,
, .
4. . ,
. , ,
, ..
.

.

, . ,
, . ,

, .
.

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].

2.3. . , ,

[5] :
, ,
. , ,
, [Ibid., p. 282].
,
,
,

300

. ,
. (pre-refunded) . , ..
, . , ,
, .
,
. , , ,
,
. ;
, , [Ibid., p. 304].
[6] , , : ,
(systematic consumption risk).
,
. C-CAPM (onsumption Capital Asset Pricing Model)
, , ,
.
. , , ,
. , ,
,
, , ,
. ( ,
, . 2.5.) ,
, : ,
.

301

2.4. .
[11] ,
,
.
, ,
,
. ,
,
,
. , [11, . 246248].
,
, (1 .), 10%
T,
, 5%
B5%. , . PT . PT = 2B5% 1.
:
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).
VRDO (variable rate demand obligations , ( )
). VRDO , 30
40 . ,
, .
LIBOR.
, , MSI ( VRDO)
VRDO.
20012008 . ( ),
, , ,
/ , ,

( ).
MSI :
Mt = (rt + t)(1 4t),
Mt MSI;
rt ( );
t , / ;
t ,
VRDO.
, t 31 50% , 41,5%.

304

( 39,1 38,6% 2001 2002 .


35% 20032008 .), ,
.

( ).
( ), .
, ..
, .
, , , 1 t, , .
, , , , , ,
. ,
,
, . , , ,
. ,
( ) , , , .
:
, , ,
,
.
, , ,
-
. , , ,
,
. .

2011 .

305

3.
-
3.1.
:
, , ;
;
, .
:
1) ;
2) ,

-;
3) ,
;
4)
Moodys, .

:
Yit = (1 i)( i + Xit),
Yti i t;
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

 
 
 
 
 
 
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. 1.

3.2.
,
20012011 . [2830] (. 2).
,
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

 

40 696,59

42 612,30

.$:

43 726,18

$.5:

41 313,18

42 671,00

.$:@$03

 
 
 
 
 
 
 


. 2.
, 2011 .

309

. ( = 38%) . ,
. , .
,
i = 2, 5, 10 20.
Excel
Yit Xit.
.
( F) , .. .
. 3 .
3.
i
(
)

i
(

i
(
)

0,375336436

0,624663564

0,482533636

0,241266818

0,564439

0,435561

1,605822

0,321164

10

0,528547166

0,471452834

2,642783853

0,264278385

20

0,595228

0,404772

6,036959

0,301848

, 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 //
Journal of Finance. 1979. Vol. 34. P. 189196.
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 //
Journal of Finance. 1982. Vol. 37. P. 907923.
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

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 2.  
 
 
 
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. 5.
FE

329

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. 6.

 

 
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. 7.

4 errors model

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True RE

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. 9.

MoM T-inv c . v

MoM. T-inv






330





 

 

 

 

 

 

 

 

 

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. 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
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. 5 2011 . URL: http://www.opec.ru/1348128.html
2. .., .. // . 2012. 2.
3. ., . // . 2011.
31. 5620 (244) URL: http://www.rg.ru/2011/10/28/pensii-site.html
4. .. ,
// . . .: . , 2008. . 129159.
5. .., .., .. .
. .: , 2004.
6. .. :
// . 2004. . 8. .1.
8. . 4164.
7. 2030 : .
. .: , 2010. URL: http://www.gks.ru

383

8. .. . .: . , 2010.
9. .. :
. WP3/2003/02. .: ,
2003. ( .)
10. .., .. :
: . . .: -, 2001. . 812.
11. .. // . 2005. 3. URL: http://magazines.russ.ru/oz/2005/3/2005_3_13.
html
12. ..
: XIII

. , 35 . 2012 .
13. . 2013 // .. 2010. 25 . URL:
http://www.gazeta.ru/financial/2010/10/25/3431514.shtml
14. Banks J., Blundell R., Disney R., Emmerson C. Retirement, Pensions and the
Adequacy of Saving: A Guide to the Debate. IFS Briefind note No. 29. 2002.
15. Berkel B., Brsch-Supan A. Pension Reform in Germany: The Impact on
Retirement Decisions. NBER Working Paper No. 9913. 2003.
16. Bound J., Schoenbaum M., Stinebrickner T.P., Waidman T. The Pynamics
Effects of Health on the Labor Force Transitions of Older Workers. NBER Working
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

..


..


.
( ),
: . ,
,
. ,
,
.

,
.
, , ,

. , , ,
[24]. , ,
:
(financial constraints) [17].
, ,
,

396

( )
. , , [11].
, 1 2012 . [6], 978 .

: (163), (370), (169) [12].

- ( 52% ), .
, , ..
,
.
2004 . ,
.
, 20072009 . ,
. 54% [29]. 1 2011 .
(. 11.2 ()
2 1990 . 395-I ),
180 300 .
.
1 2015 .
. (SCP -

397

,
),
, , ,
.
, :

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. . [4] ,
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( ,
, ),
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: ( ),
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,
: , .
. . [7] . , ,
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-

398

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. . [1] , ( ) , ,

.
. . [11] , ,
( ), . ,
, : , , ( , ,
).
, / ,
, . ,

.

.
:

2008 . 2011 .;
,
;
;
.
,
. , -

399

,
. : ,
, , .
, ,
.

, . ( )
. ,
, ,
.


48
, 25 , 23
. :
3-
- ( ,
500 .). ,
12 25 500 .,
8 1 .
(39,94% ) 30
. 22 . : (9,88% ), (3,39%),
- (2,81%), - (2,29%), (1,92%),
(2,46%), (2,18%) (1,74%). ( ) :
(16,76%), (1,69%), (2,41%) (2,98%)1.
2011 . : 1

2011 .

400

7,5% 4,2% , 8,4% 7,5%,


15,5% 11,5%.

78%- . 1-
4- , , -
. , (65%) :
68% 50,4% .
. 1
.
1.

, *

3,8

145,2

(),
.**

884

32073


, . .**

234,3

226,0

, .**

15 207

16 426

49

1 012

25

547

22 001

100 . .

14,4

15,1


, %

0,84

17,5


, %

64,5

53,7

, .

556

33 804

, .

370

22 140


,%

80,1

63,5

, %
, %
, %

401

5,0

3,4

16,4

18,4

0,8

1,3

. 1

, .

359

21 081


, %

26,5

28,7


, %

48,8

46,6

/ , %

62,3

76,0

/ , %

41,8

40,8

/ , %

22,3

22,1

/ , %

91,8

105,1

* 2010 .; ** 2009 .
: [1].


.
, :

L=

P MC
,
MC

P , MC . , .
, , ..
. :
, .. .
( ) .
: ,
. .
(, -

402

)
( , ).
, [25].

, ,
. ( 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 ( / ).
,
, .
21,4%,
. ,

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

403

, , )
. ,

, .
. ( )
,
. , , .
, , (too big to fail),
. ,
, .
, .
. . [21] :
1)
, ( );
2) ,

( , ; -, , !);
3)
,

.
. . [11] 2002 2008 .
: , ,
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. : -20 ; -

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: -20
,
. , ..
; - .
,
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, , , ..
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. . [1]
,

. 2008
2010 . ,
.
: , ;
, ,
.
.
( ),

405

.
, ( )
.
, , , , ,
,
. (MC),
. :

MC =

3
TC
(1 + 2 ln y + j lnw j ).
y
j =1

, , ,
.
:
.
,
.
2008 .
2011 .
(URL: cbr.ru)
.
.
,
. , :
, , , . . 2
.

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

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408

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409

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410

 
 
 
 
 
 
 
 
 
 
 


 


 


 


 


 


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411

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412


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.., 2013

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.
+
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, ,
:

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+
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(27)


1
, E t1+1 ,E t2+1 ,M t2+1 , pt1+1 , p+1

, c0 ,c1 ,,,,wt , f 1 , f 2 , A, A1 , A 2 .

E! t2+1 = 1 !

"wt

M! t2+1 = 1 !

%E2 !M 2 (
#$p (A ' t +1 2 t +1 * ! wt )
& 1 ! M t +1 )
e,2
t +1

c0
.
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1
2
t +1
t +1
t +1
t +1
c1 + !" # # A #
( wt +1 & & pt +1 ! # # A #
( wt +1 & & pt +1
#" " " 1 + M t2+1 &%
#" " " 1 ! M t2+1 &%
% &%
% &%
)
*
#E2 !M 2 &
A 2 (1 ! " ) ,(A 2 % t +1 2 t +1 ( ! wt +1 ) /
$ 1 ! M t +1 '
,+
/.
p!t2+1 =
.
f2

E! t1+1 = 1 !

"wt

% E + M t2+1 (
#$p (A '
! wt )
& 1 + M t2+1 *)
e,1
t +1

(28)

1
t +1

431

(29)

(30)
(31)

* 1 # E1 + M 2 &)
A (1 ! " ) ,(A % t +1 2 t +1 ( ! wt +1 ) /
$ 1 + M t +1 '
/.
,+
p!t1+1 =
.
1
f
2

(32)

brain gain ? (30) ,



. . (28)
.
,
,
brain gain. ,
. , ,
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.

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, , -

432

. , ,
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,
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.., 2013

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: McCracken M.W. Asymptotics for Out-of-Sample Tests of
Granger Casuality. Unpublished. University of Missouri, 2004.

439

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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.
P. 211.
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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.
4. Cecchetti S.G., Chu R.S., Steindel C. The Unreliability of Inflation Indicators//
Federal Reserve Bank of New York Current Issues. 2000. Vol. 6. No. 4. P.16.
5. Clark T.E., McCracken M.W. The Predictive Content of the Output Gap for
Inflation: Resolving In-Sample and Out-of-Sample Evidence // Journal of Money,
Credit and Banking. 2006. Vol. 38. No. 5. P. 11271148.
6. Fisher J.D.M., Liu C.T., Zhou R. When Can We Forecast Inflation? Federal
Reserve Bank of Chicago. Economic Perspectives. 2002. Vol. 26. No. 1. P. 3042.
7. Hendry D.F., Clements M.P. Pooling of Forecasts // Econometrics Journal.
2004. Vol. 7. No. 1. P. 131.
8. Hubrich K. Forecasting Euro Area Inflation: Does Aggregating Forecasts by
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9. Mishkin F.S. The Information in the Longer-Maturity Term Structure // Quarterly Journal of Economics. 1990. Vol. 105. No. 3. P. 815828.
10. Orphanides A., Norden S.V. The Reliability of Inflation Forecast Based on
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Vol. 37. No. 3. P. 583600.

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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13. Stock J.H., Watson M.W. Why Has U.S. Inflation Become Harder to Forecast?// Journal of Money, Credit and Banking. 2007. Vol. 39. No. 1. P. 334.
14. Stock J.H., Watson M.W. Phillips Curve Inflation Forecasts. NBER Working
Paper No. 14322. Sept. 2008.
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.
8. Black F., Scholes M. The Pricing of Options and Corporate Liabilities // Journal of Political Economy. 1973. Vol. 81. No. 3. P. 637654.
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Stock Index Options // Journal of Econometrics. 1992. Vol. P. 267287.
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14. Engle R., Patton J.What Good is a Volatility Model? // Quantitative Finance.
2001. Vol. 1. P. 237245.
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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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498

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,

,
. , .

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

***
, , ,
, .

.
, -

499

, ,

.

1. .., .. .
WP10/2011/02.
2. .., .. : , , /
, . -. -. .: , 2009.
3. .. // . .
2006. 5.
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the Subjects and Spaces of Ethical Consumption // Antipode. 2005. Vol. 37. No. 1.
P. 2345.
6. Boulstridge E., Carrigan M. Do Consumers Really Care About Corporate
Responsibility? Highlighting the Attitude-Behavior Gap // Journal of Communication
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7. Bray J., Johns N., Kilburn D. An Exploratory Study into the Factors Impeding
Ethical Consumption // Journal of Business Ethics. 2011. Vol. 98. No. 4. P. 597
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8. Brekke K.A., Kverndokk S., Nyborg K. An Economic Model of Moral Motivation //Journal of Public Economics. 2003. Vol.87. No. 910. Sept. P. 19671983.
9. Carrigan M., Pelsmacker P. Will Ethical Consumers Sustain their Values in
the Global Credit Crunch? // International Marketing Review. 2009. Vol. 26. No. 6.
P. 674687.
10. Ethical Consumerism Report 2011 // The Co-Operative bank good with
money, 2011. URL: www. Goodwithmoney.co.uk
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No. 1. P. 3345.
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210.
13. Rahbar E., Wahid N.A. Investigation of Green Marketing Tools Effect on
Consumers Purchase Behavior // Business Strategy Series. 2011. Vol. 12. No. 2.
P. 7383.

500

14. Starr M.A. The Social Economics of Ethical Consumption: Theoretical Considerations and Empirical Evidence // Journal of Socio-Economics. 2009. Vol. 38.
No. 6. P.916925.
15. Witkowski T.H., Reddy S. Antecedents of Ethical Consumption Activities
in Germany and the United States // Australian Marketing Journal. 2010. Vol. 18.
P.814.
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18. www.be-in.ru
19. www.EthicalConsumer.org

.., 2013

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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


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. 3.1.






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. 3.2.

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. 3.3.
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. 3.4.

535

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f

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. 3.5.


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. 3.6.

536

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. 3.7.



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. 3.8.

537

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f

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. 3.9.




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I
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III
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I
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III
IV
I
II
III
IV
I
II
III
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II
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. 3.10.

538

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f

3,11896

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b1

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III
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. 3.11.



%BUB
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. 3.12.

539

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t0 .
, [10, p. 104].
[Ibid., p. 106],
. ,
,
LIBOR, .
100 .,
1 . .

544

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4

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.
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, :

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Z 2
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[10, p.107]
,
. , , .. ,
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545

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S

548

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F
F3
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3

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F2
F2
(2).


, ,
[10, p. 115].

549

.
. , .
,
, .


, -.
,
. , 40 ,
10 ,
,
. ,
MOSPRIME , .
5 .
, , MOSPRIME
1 (overnight) 6
1 10 . 28.12.07
2007 ., . ,
-.
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. 1 12 , MOSPRIME,
.

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105,82 . ,
, ,
3

., : [9, . 78].

551

. ( 6,345%) :

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$106,345
+
.
(1 + 5,82%) (1 + r2 )2

r2 = 6,374%.
Microsoft Excel, Goal seek.
10 , . 1.
1
Date

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Date

2 3 4

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(. 2).
,
15 ( 09.01.08 29.01.08).
(. 3).
, . , ,
 
 
 
 
 
 
 
 
 
 

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. 2

552









MOSPRIME , .
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.
, . . ,
9 (r9/12) : r9/12 = (r6/12 + r1)/2.
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- . :
B=

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553

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28.12.07.

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, , .
, . ,
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. 2.
2

, .

10 000 000

20 000 000

30 000 000

554

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. ,
, ,
, t0. . NPV
28.12.07.
, NPV , . ,
( ), , , .
(Hedge ratios)
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-

555

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3,4 .. ,
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1342,23 .
.

=
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1637,29 ., ..
295,06 .
, NPV (, . 5).
NPV ,
. (. 3).






















/17 

/17 



. 3

556

, ,
NPV . ,
. , .


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

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

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