We make an attempt to discover the statistically significant relationship between market discipline and banking system transparency using the cross-country data (1990-2003). The dependent variables cover the quantitative and price-based disciplining. Measuring banking system transparency we use...

This paper examines what influences Russian households' decisions to save and borrow. We use the 2008 data from the 17th round of the Russia Longitudinal Monitoring Survey (RLMS-HSE). Our results show that the determinants of saving and borrowing are not only those suggested by economic theory...

We analyze whether a depositor's familiarity with a bank affects depositor behavior during a financial crisis. Familiarity is measured by the presence of regional or local cues in the bank's name, while depositor behavior is considered in terms of depositor sensitivity to observable bank risk...

This article estimates stochastic volatility jump-diffusion processes using the continuous empirical characteristic function method based on the Joint characteristic function and the Marginal characteristic function. The emphasis is on the specification of jumps in the asset log-price. Out of...

This article proposes an estimation procedure for the affine stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint (here bi-variate) unconditional characteristic function for the stochastic process for which we...

Market discipline in the personal deposit market is of great importance for regulators. In developing economies, which rely much and are dependent on the dollar and euro, changes in the currency structure of the deposits may be strategic and work as an additional disciplining mechanism. Our...

In recent years the Russian banking system has witnessed numerous bank license withdrawals. Many of the failed banks had significant volumes of retail deposits in their liabilities, thus, transmitting the default burden to the Deposit Insurance Agency and ultimately to the taxpayers. In their...

This paper discusses whether being smart makes depositors less prone to get involved in a panic bank run. We conduct a series of experiments with undergraduate and graduate students from Moscow and Saint-Petersburg, modelling the a-la Diamond-Dybvig deposit market with liquidity shocks, changing...

Russian Abstract: В данной работе мы стремимся выяснить, можно ли предотвратить банковские паники в период кризиса, если СМИ, находясь под контролем государства, не...