Browsing by Author "Peresetsky, Anatoly"

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  • Peresetsky, Anatoly (2010)
    BOFIT Discussion Papers 1/2010
    Published in Macroeconomics and Finance in Emerging Market Economies, Volume 6, Issue 1, 2013: 88-113 as "Cost efficiency of Kazakhstan and Russian banks: results from competing panel data models". Other author: Subal Kumbhakar. Published in Финансы и Бизнес №1, 2009: 41-53 as Техническая эффективность банков: Россия и Казахстан.
    The Kazakhstan banking system is increasingly viewed as more advanced than the Russian system. Kazakhstan adopted the International Accounting System (IAS) in 2003 and the Basel II norms in 2005, while Russia has yet to fully adopt either IAS or Basel II. In this paper, bank data for 2002-2006 are used to estimate models of bank cost efficiency. In contrast to most previous papers, no significance difference is found for the average cost efficiency scores of banks for the two countries during 2002-2006. How banks are ranked for efficiency depends upon the chosen model (input and output sets). An interesting insight is the finding that most banks in both countries are below optimal size.
  • Korhonen, Iikka; Peresetsky, Anatoly (2013)
    BOFIT Discussion Papers 15/2013
    We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we derive "most important" hours of world financial market and estimate the relative importance of local versus global news for different stock markets. The model generates results that are consistent with intuition. Key words: emerging stock markets, transition economies, financial market integration, stock market returns, global stochastic trend, state space model, Kalman filter, non-synchronous data. JEL codes: C49, C58, G10, G15, F36, F65
  • Peresetsky, Anatoly (2008)
    BOFIT Discussion Papers 14/2008
    Published in Russian in Applied Econometrics (Прикладная эконометрика), No. 3, 2008, pp. 3-14 as "Market Discipline and Deposit Insurance" (Рыночная дисциплина и страхование депозитов).
    The paper presents a study of Russian banks' interest rates on household deposits during the formation period of the deposit insurance system. It is shown that market discipline weakened after deposit insurance was effectively in place. JEL codes: G21, G28, P37 Keywords: deposit insurance, market discipline, deposit interest rates
  • Peresetsky, Anatoly; Karminsky, Alexander (2008)
    BOFIT Discussion Papers 17/2008
    Published in Frontiers in Finance and Economics, 2011, 8(1), pp. 88-110. Published in Russian in Applied Econometrics (Прикладная эконометрика), Vol. 14, No. 2, 2009, стр. 3-23. as Measuring external support factor of Moody’s bank ratings (Измерение компоненты внешней поддержки рейтингов агентства Moody’s).
    The paper presents an econometric study of the two bank ratings assigned by Moody's In-vestors Service. According to Moody s methodology, foreign-currency long-term deposit ratings are assigned on the basis of Bank Financial Strength Ratings (BFSR), taking into account external bank support factors (joint-default analysis, JDA). Models for the (unobserved) external support are presented, and we find that models based solely on public information can reasonably well approximate the ratings. It appears that the observed rating degradation can be explained by growth of the banking system as a whole. Moody s has a special approach for banks in developing countries and Russia in particular. The models help reveal the factors that are important for external bank support.
  • Peresetsky, Anatoly; Karminsky, Alexandr; Golovan, Sergei (2004)
    BOFIT Discussion Papers 21/2004
    Published in Economic Change and Restructuring, 2011, 44(4), 297-334 an Published in Russian in Economics and Mathematical Methods (ЭКОНОМИКА И МАТЕМАТИЧЕСКИЕ МЕТОДЫ), 2007, v.43, n.3, pp. 37-62 as Banks’ probability of default models (МЕТОДЫ ОЦЕНКИ ВЕРОЯТНОСТИ ДЕФОЛТА БАНКОВ).
    This paper presents results from an econometric analysis of Russian bank defaults during the period 1997 2003, focusing on the extent to which publicly available information from quarterly bank balance sheets is useful in predicting future defaults.Binary choice models are estimated to construct the probability of default model. We find that preliminary expert clustering or automatic clustering improves the predictive power of the models and incorporation of macrovariables into the models is useful.Heuristic criteria are suggested to help compare model performance from the perspectives of investors or banks supervision authorities.Russian banking system trends after the crisis 1998 are analyzed with rolling regressions. Keywords: banks, Russia, probability of default model, early warning systems
  • Korhonen, Iikka; Peresetsky, Anatoly (2013)
    BOFIT Discussion Papers 4/2013
    Published in Emerging Markets Finance and Trade, Volume 52, Issue 5, 2016: 1210-1225 as "What Influences Stock Market Behavior in Russia and Other Emerging Countries?"
    We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the period 1997:10-2012:02. We also consider three Eastern European stock markets (Poland, the Czech Republic, and Hungary), as well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify periods when oil prices or stock indices in the US and Japan were important. Surprisingly, oil prices are not significant for the Russian stock market after 2006. A TGARCH-BEKK model is employed to assess the degree of correlation between markets, taking into account the global market stochastic trend. We find that correlation between markets increased between 2000 and 2012. Growth was especially high in Eastern European markets during 2004-2006, which is likely connected with the EU accession of these countries in 2004. Key words: Russian stock market, oil, financial market integration, stock market returns, news, emerging markets, transition economies. JEL: G10, G14, G15, C5.