Modelyuvannya Economy - Vіtlіnsky VV

ROZDІL 10. MІKROEKONOMІCHNE MODELYUVANNYA BANKІVSKOЇ DІYALNOSTІ

10.1. Zagalnі power schodo modelyuvannya dіyalnostі bankіv

Pochnemo s aforesaid ponyattya Bank. Odne s formulyuєtsya are as follows: Bank - Credit tse establish KOTRA Got vinyatkove right zdіysnyuvati in sukupnostі takі operatsії: zaluchennya to vkladennya penny zasobіv (koshtіv) fіzichnih i Yurydychna osіb; rozmіschennya vkladenih koshtіv od Svoge іmenі that on svіy rakhunok on the minds Povernennya, platnostі, termіnovostі; Keeping that vіdkrittya bankіvskih rahunkіv fіzichnih that Yurydychna osіb.

Sered mainly funktsіy scho їh vikonuyut banks yak sub'єkti ekonomіchnih vіdnosin can viokremiti takі Vier groups:

  • Zabezpechennya rozrahunkіv i splat.
  • Transformatsіya aktivіv.
  • Upravlіnnya rizikami.
  • Opratsyuvannya іnformatsіynih potokіv, monіtoring pozichalnikіv.

In fіnansovomu vocabularies * 1 daєtsya aforesaid komertsіynogo Bank (BC) Yak-fіnansovo kreditnoї place the scho stvoryuєtsya for zaluchennya koshtіv i rozmіschennya їh od Svoge іmenі on the minds Povernennya th oplatnostі. BC zdіysnyuє rozrahunkovі operatsії for doruchennyam klієntіv, kasove obslugovuvannya їh, operatsії s currency, precios metals, Paper the tsіnnimi that INSHI operatsії, dozvolenі law. BC klasifіkuyutsya for such acquaint themselves: for nalezhnіstyu statutory kapіtalu ways that yogo formuvannya - aktsіonernі tovaristva i tovaristva s obmezhenoyu vіdpovіdalnіstyu banks for uchastі іnozemnogo kapіtalu, іnozemnі banks; for species zdіysnyuvanih operatsіy - unіversalnі that spetsіalіzovanі; teritorієyu for an area dіyalnostі - zagalnoderzhavnі, regіonalnі, galuzevі.

* 1: {Zagorodnіy AG, Voznyuk GL, Smovzhenko TS Fіnansovy vocabulary. - 3-tє view vipra.. that extra. - K .: T of "knowledge", the CCW, 2000.}

Banks that zagalna teorіya rіvnovagi

Rozglyanmo model deyakoї (nayprostіshoї) ekonomіchnoї system, furrows yakoї dіyut agents troh vidіv:

  • domashnі Gospodarstwa (chi spozhivachі) SSMSC toil zaoschadzhennya groshovіy formі in the S, kotrі stink mozhut timchasovo vklasti in assets SSMSC prinositimut dohіd;
  • pіdpriєmstva (fіrmi chi pіdpriєmtsі) kotrі proponuyut deyakі projects scho prinositimut dohіd, ale vimagayut Pochatkova іnvestitsіy in the I obsyazі. Fіnansuvannya proektіv Mauger zdіysnyuvatis in dvoh forms: for rakhunok i kreditіv for rakhunok emіsії (Key infrastructure) tsіnnih paperіv (Direct zobov'yazan). Require fіrmi in credits poznachatimemo through L-, and zobov'yazannya yak Bf;
  • banks - fіnansovі poseredniki scho zaymayutsya zaluchennyam koshtіv yak for Relief emіsії tsіnnih paperіv (zobov'yazan), so i for rakhunok of acceptance on deposit zberezhen domashnіh Gospodarstwa s metoyu їh іnvestuvannya in projects proponovanі fіrmami. After L + poznachatimemo obsyag kreditіv scho їh proponuyut fіrmam banks through D - - popit bankіv on deposits domashnіh Gospodarstwa (vіdpovіdno through D + - їh propozitsіyu domashnіmi Gospodarstwa) through Bb - obsyag zobov'yazan, emіtovanih banks.

For sproschennya pripustimo, scho banks i fіrmi deprivation emіtuyut tsіnnі Papero and їh pridbannyam in obsyazі Bh zaymayutsya domashnі Gospodarstwa deprivation, yak tse vikoristovuyuchi form rozmіschennya zberezhenih koshtіv - an alternative to deposits. For fіnansovogo Rinku Got Location sproschene rіvnyannya balance:

Bf + Bb = Bh.

Spinіmosya on deyakih tasks SSMSC treba rozv'yazuvati in furrows opisanoї situatsії. Zrobimo takozh for sproschennya stewed: fіrmi mozhna taxes yak deyaku userednenu fіrmu (typical predstavnika). A takozh for sproschennya, obmezhimosya rozglyadom deprivation dvoh hours etapіv funktsіonuvannya tsієї gіpotetichnoї ekonomіchnoї System * 2.

* 2: {Vishnjakov NV Economic-mathematical model for assessing the activity of commercial banks. - St. Petersburg, 1999.}.

Nehaj on the cob Perche Etap domashnє Gospodarstwa volodіє Costa obsyagom W. Vono rozpodіlyaє їh on Dvi Chastain (i spozhivannya nakopichennya). "Povedіnka» Home Gospodarstwa opisuєtsya dvovimіrnim vector (C 1, C 2), de Ct - obsyag yogo spozhivannya perіodі at t = 1, 2 Yakіst spozhivannya mozhna opisati deyakoyu funktsієyu korisnostі u (C 1, C 2). Іdetsya about obrannya takoї strategії spozhivannya (C 1, C 2), KOTRA b maksimіzuvala korisnіst s urahuvannyam budgetary obmezhen:

max u (C 1, C 2), (10.1)

C 1 + Bh + D + = W, (10.2)

C 2 = p f + p b + (1 + r) Bh + (1 + rD) D +, (10.3 )

de p f i p b - clean Prybutok fіrm i bankіv vіdpovіdno scho rozpodіlyaєtsya Sered domashnіh Gospodarstwa uprodovzh Etap t = 2;

r - rate vіdsotkovih splat for tsіnnimi Paper the (zobov'yazannyami);

rD - splat vіdsotkovih rate for deposits.

In danіy (virodzhenіy) situatsії obviously deposits i tsіnnі Paper the Je doskonalimi substitutes. Nevazhko Show scho otrimany rozv'yazok zadachі (10.1) - (10.3) for the minds dosyagaєtsya

r = rD. (10.4)

Zavdannya scho stoїt before fіrmoyu, polyagaє in obrannі values obsyagіv direct that bankіvskogo fіnansuvannya (L - is the Bf), SSMSC maksimіzuyut її Prybutok:

max p f, (10.5)

of minds

pf = f (I) - (1 + r) Bf - (1 + rL) L -1, (10.6 )

I = B f + L -, (10.7)

de f (I) - virobnicha funktsіya fіrmi scho viznachaє obsyagi її gross Key infrastructure fallow od obsyagu іnvestitsіy I;

rL - rate vіdsotka bankіvskimi for loans.

For analogієyu s stewed stosovno to "povedіnki» Home Gospodarstwa fіrmi for loans that tsіnnі Paper the takozh Je doskonalimi substitutes, i rozv'yazok zadachі (10.5) - (10.7) dosyagaєtsya deprivation todі, if

r = rL. (10.8)

One іz tsіley funktsіonuvannya bank polyagaє in maksimіzatsії pributku p b for rakhunok viznachennya optimal value obsyagіv Vidanov fіrmam kreditіv L +, zіbranih s domashnіh Gospodarstwa depozitіv D - that emіtovanih tsіnnih paperіv Bb. Task Got viglyad:

max p b, (10.9)

p b = rL L + - rBb - D -, (10.10)

L + = Bb + D-. (10.11)

Zagalna rіvnovaga in danіy ekonomіchnіy sistemі harakterizuєtsya:

  • vector vіdsotkovih rates (r, rL, rD);
  • vector, scho yogo obirayut domashnі Gospodarstwa - (C 1, C 2, Bh, D +), fіrmi - (I, Bf, L-) i banks - (L +, Bb, D- ). Zvichayno, povinnі vikonuvatis minds:
  • Elements Description vische vektorіv vіdpovіdayut optimal plan schodo Vibor domashnіmi Gospodarstwa, fіrmami that banks tobto Je rozv'yazkami tasks (10.1-10.3) (10.5-10.7) (10.9-10.11);
  • for vsіh rinkіv vikonuyutsya minds balance:
  • for market analysis zaoschadzhen that іnvestitsіy: I = S;
  • for market analysis depozitіv: D + = D -;
  • for market analysis kapіtalіv: L + = L -,
  • fіnansovogo for market analysis (market analysis tsіnnih paperіv): Bh = Bf + Bb.

Urahovuyuchi Minds (10.4) that (10.8) can be dіyti visnovku scho Umov rіvnovagi in danіy modelі polyagaє in rіvnostі vsіh vіdsotkovih rates:

r = rL = rD. (10.12)

In furrows opisanoї modelі in situatsії rіvnovagi banks otrimuyut nulovy Prybutok and structure їhnogo portfolio (spіvvіdnoshennya zaluchenih depozitіv that emіtovanih zobov'yazan) not vplivaє on dіyalnіst іnshih agentіv market analysis (i fіrm domashnіh Gospodarstwa).

Danian visnovok at sutі, Je analogіchnim schodo fundamentalnoї theorem Modіlyanі-Mіllera stosovno to the structure of kapіtalu fіrmi in the minds doskonaloї konkurentsії. Otzhe in furrows klasychnoji paradigm Errou-Debreu nemozhlivo poyasniti Reason іsnuvannya i zakonomіrnostі funktsіonuvannya bankіvskoї system. Tobto neobhіdna pobudova models scho vrahovuyut dodatkovі aspects fіnansovo-ekonomіchnoї dіyalnostі, kotrі th rozroblyayutsya in ostannі desyatirіchchya. Sered napryamіv rozvitku mіkroekonomіchnoї teorії in danіy sferі Yea, zokrema, takі:

  • modelі scho analіzuyut dіyalnіst bankіv yak fіnansovih poserednikіv, s urahuvannyam іnformatsіynoї neviznachenostі that riziku, іnformatsіynoї asimetrії;
  • modelі scho ґruntuyutsya on virobnicho-organіzatsіynomu pіdhodі;
  • modelі bankіv s pozitsіy sukupnostі stochasticity fіnansovih potokіv toscho.