Suchergebnisse

The article examines causalities between sovereign, most important quasi-sovereign CDS prices (Gazprom, VTB, Sberbank) for Russia and the global volatility factor embedded in the VIX index dynamics. The analysis refers to the post-bailout period in this major emerging economy (May 2009–July 2013). The causalities are assessed in the time (the Hong test) and frequency (the Breitung–Candelon test) domains. The VIX index dynamics has a strong impact on all Russian CDS, but also receives a non-negligible feedback from them. The sovereign and quasi-sovereign CDS prices exhibit a strong causal connectedness in both domains, with the impact of the quasi-sovereigns (in particular, that of banks) getting more pronounced in the longer run, i.e. over longer time horizons and at lower frequencies. High foreign exposure of the quasi-sovereigns, explicit/implicit public guarantees and the holdings of the Russian sovereign debt on their balances underlie the causalities. Given the systemic role that the government-controlled entities play in the Russian economy, this may lead to the "too big to save" effect with negative implications for financial and fiscal stability.

The paper explores causal linkages between interbank and sovereign bond
markets in 14 OECD countries, the Euro area and Russia during the 2008-2009
crisis and post-crisis period. The analysis has been carried out for
individual countries and in a multivariate framework. It enables to identify
systemically important countries in both markets. The USA, Switzerland,
Australia, South Korea and Russia are of particular significance in the
interbank lending market. Switzerland, the UK, Poland, Australia and Canada
play a pivotal role in the public debt market. The analysis under the
multivariate framework reveals substantial heterogeneity in the network
structure of both markets. Only 12% of causal relationships coincide, which
may fuel financial contagion. Volatility spillovers underlie the causal
linkages. They are estimated by means of dynamic volatility indices based on
rolling correlation matrices and help identify the transformation of the
international banking turmoil into the sovereign debt crisis.

What is the driving force of the evolution of monetary systems in the longrun? Based on an in-depth analysis of economic history and the findings of contemporary studies, Prof. S. Andryushin argues that it is the perpetual rivalry between centralization and decentralization. This article juxtaposes arguments for and against such a viewpoint. In particular, I assert that centralization or decentralization per se cannot safeguard financial stability, nor secure optimality of monetary policy. Both trends need to be assessed alongside with concomitant political and economic factors as well as institutional environment. Against this backdrop, the ongoing trend towards decentralization associated with cryptocurrencies is so far unlikely to remedy all the drawbacks of the contemporary monetary system.

The article introduces a classification of research programs related to the cryptocurrency market. Each of them is surveyed, with the emphasis placed on the most recent studies. Despite the presence of market frictions, its informational efficiency tends to increase, thereby making it more comparable with the conventional financial markets. In particular, cryptocurrencies can be used for portfolio diversification. Yet, they can hardly compete with fiat money. Currently, central banks are only interested in examining and adopting some of the cryptocurrency features to create their own wholesale digital currencies.