Estimating the opening-up shock : an optimal portfolio approach to would-be integration of the C.I.S. financial markets

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Title: Estimating the opening-up shock : an optimal portfolio approach to would-be integration of the C.I.S. financial markets
Author: Evstigneev, Vladimir
Organization: Bank of Finland
Suomen Pankki
Department / Unit: Institute for Economies in Transition (BOFIT)
Siirtymätalouksien tutkimuslaitos (BOFIT)
Series: IDÄNTALOUKSIEN KATSAUKSIA. REVIEW OF ECONOMIES IN TRANSITION
Series number: 6/1998
Year of publication: 1998
Publication date: 21.12.1998
Pages: 23-61
Keywords: KIE; Venäjä; investoinnit; joukkovelkakirjat; Bofit-kokoelma
Abstract: The paper presents a hierarchy of the rational investor's counterfactual portfolios that consist of treasury bills of the three largest CIS countries - Russia, Ukraine, and Kazakhstan, in case some degree of at least negative integration is achieved there.The author performs an adjustment of the measure of relative attractiveness of various counterfactual two-country and three-country portfolios for the estimated opening-up shock (that consists in a dramatic re-allocation of funds, given the optimal portfolio composition).It has been found out that there is only one counterfactual optimal portfolio that is realistically feasible.This would comprise the government-issued papers from all the three countries considered and would imply the international rational investor's following a mildly risk-averse investment strategy.Importantly, an overhaul of exchange-rate and monetary policy is unnecessary, which fact augments the incentives for the countries involved, even despite their political resentment. In the Annex, the author undertakes an attempt to demonstrate that the recent collapse of the Russian treasury bills market can be explained in terms of the derivatives market analysis. Keywords: optimal investment portfolio; financial integration; economy in transition; government bonds market; derivative instruments; Russian treasury bills
Note: Uudelleenjulkaistu pdf-muodossa 2002 (Idäntalouksien yksikön sarja)Reprint in PDF format 2002 (Unit for Eastern European Economies series)


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