Rational Expectation Model of Modern Russian Banking System and the Strong Turnpike Property

M. Andreev, N. Pil'nik and I. Pospelov
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M. Andreev: Computing Centre, Moscow, Russia
N. Pil'nik: State University - Higher School of Economics, Mîscow, Russia
I. Pospelov: Computing Centre, Moscow, Russia
Authors registered in the RePEc Author Service: Nikolay Pilnik

Journal of the New Economic Association, 2009, issue 3-4, 72-96

Abstract: An econometric analysis of modern Russian banking system is carried out. A set of discovered relations was used as constraints in a mathematical model of banking system under the assumption of rational expectation (perfect foresight) of agents. A strong turnpike property is found: agents' optimal equilibrium plans are independent of the future information variables. The turnpike property allows reduction of bank's boundary problem to dynamic problem.

Keywords: banking system of Russia; general equilibrium model; rational expectation (search for similar items in EconPapers)
JEL-codes: C68 D58 G21 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2009:i:3-4:p:72-96

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