Annual Conference 2009

Transcription

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2 , : ｪ : , ｪ ISBN , , , ｨC , , ISBN , , , [email protected] ｪ ; , , , , 6

3 , , , , , , ｨC ( ) : , : ( ) , ,

4 , : , , , , , , , , : ( )

5 p 6ﾓ ( ) : 1999ｨC : IPO , , Visual Basic for Applications (VBA) , , :

6 ｨC , , , , , ｪ , , , , , , , , ｪ , , , , , , , , ,

7 , (1 71 7), , , , , , , ｪ , , , , , , , , , , ( ),

8 ( ) ( ), : ( ) ( ) ( ) III ( ｪ ) ( ) ( ) ( ) ( ) , ( ), : ( ) ( ) , ( ), : ( ) ( ) ( ) ( ) ( ) ( ) , , , , , ｪ , , ,

9 : ; ; ; Solvency I03, , ( , ) : ( ) , ｪ % , , % , % ? ( ), , ( ,22 %) , ,67 % , , ,13 % ? , , , , ｪ ( ), , // ; , , //

10 , , : , , , , Solvency I03, Solvency II03, , , , , , //

11 , ｪ , , , , , , , : ｪ , , ; ｪ , ; ｪ , N ( ) , // ; N ( ) , , // ;

12 , , , ｪ , , , , , , , ｪ , ｪ , , , , : , , , , ( ), ｪ , , , , , , , , , , , ,

13 , , , , , , , , , , , , ｪ ｪ , ｪ , , , , , , , , , , , , , , , , ( ), , , , , , ,

14 , , , , , , , , , , , , , , , , , , , , , , , , , , , ,

15 ｪ ( ) , , , , , , , ( , , , ) , : , , , , , : Jones (1995a), , ; , , Mailto: [email protected] : Romer (1990), Grossman 1 7 Helpman (1991) 1 7 Aghion 1 7 Howitt (1992) : Jones (1995a), Jones (1995b) Acemoglu (2008), ch

16 , Jones (1995a), Kortum (1997), Segerstrom (1998) , , , : , Young (1998), Peretto (1998), Aghion, Howitt (1998), Dinoupolos, Thompson (1998a), (1998b), , , , , , , , , , , , ｨC , ｨC , , , ( ), Jones (1999) Grossman, V. (2008). 7 Halflife. 8 Jones (1995a). 16

17 , , , , , , ( ), , , , , : ｪ ( ); ｪ ( ); ｪ , , ｪ , , , , , , , , , , , , ,

18 Aghion, Philippe and Howitt, Peter. A Model of Growth through Creative Destruction, Econometrica, March 1992, 60 (2), p. 323ｨC351. Aghion, Philippe and Howitt, Peter. Endogenous growth theory, Cambridge, MA: MIT Press, Acemoglu, Daron. Introduction to modern economic growth, Princeton University Press, Dinopoulos, Elias and Thompson, Peter. Scale Effects in Schumpeterian Models of Economic Growth, Journal of Evolutionary Economics, 1998a. Dinopoulos, Elias and Thompson, Peter. 'Schumpeterian Growth without Scale Effects, Journal of Economic Growth, December 1998b, 3(4), p. 313ｨC335. Grossman, Gene, and Helpman, Elhanan. Quality Ladders in the Theory of Growth, Review of Economic Studies, LVIII (1991), p. 43ｨC61. Grossma1 7, Volker. Enterprenerial innovation and Economic Growth, CESifo Working Paper, No. 2264, August Jones, Charles I. R&D-Based Models of Economic Growth, Journal of Political Economy, August 1995a, 103(4), p. 759ｨC784. Jones, Charles I. Time Series Tests of Endogenous Growth Models, Quarterly Journal of Economics, May 1995b, 110 (2), p. 495ｨC525. Jones, Charles I. Growth: With or without Scale Effects? American Economic Review (May 1999): 89, pp. 495ｨC525. Kortum, Samuel. Research, Patenting, and Technological Change, Econometrica, 1997, 65(6), pp. 1389ｨC1419. Peretto, Pietro. Technological Change and Population Growth, Journal of Economic Growth, December 1998, 3(4), p. 283ｨC311. Romer, Paul. Endogenous Technological Change, Journal of Political Economy, October 1990, 98(5), p. S71ｨCS102. Segerstrom, Paul. Endogenous Growth without Scale Effects, American Economic Review, December 1998, 88(5), p. 1290ｨC1310. Young, Alwyn. Growth without Scale Effects, Journal of Political Economy, February 1998, 106(1), p. 41ｨC63. 18

19 , , , , , , , , , , , , , ｪ , , , ,

20 : , L , : L w : 1) K H, ; 2) K B, , H B K = K + K ｦﾁ 16ﾓ1ｦﾁ ( ) Y = K 66 L, <1 7< B 1 7 = Y ( K, L) 6ﾓ1 wl 6ﾓ1 rk ｦﾑ 16ﾓ1ｦﾑ U = u( c0 ) 66u( c1), u ( c t ) = ln( ct ) ｪ t ( ), 1 7 ｪ (0<1 7<1) : c(1) 1 7 wl(1) + 1 7(1) c(0) + ﾜ K (0) + wl(0) + 1 7(0) r 1 + r , , , K/L ,

21 , ｪ , , , , , , , , , , Barro, Robert J., Sala-i-Martin, Xavier. Economic Growth, First MIT Press edition, Romer, D. Advanced Macroeconomics, McGraw-Hill, Rohaly, J. Solution Manual to Accompany Romer Advanced Macroeconomics, Irwn/McGraw-Hill, : , Alfaro, Areendam, L., Kelemli-Ozcan, S, Selim, S. FDI and economic growth: the role of financial markets, Journal of International Economics, (1), 2003, p. 512ｨC533. Blomstrom, M., Lipsey. R., Zejan, M. What explains developing country growth? NBER Working Paper, n. 4132, Cambridge, Mass, , , , ,

22 , , , , , , , , , , : ｪ , , : ni 1 7 j=1 R( e ij ) = R ; ｪ : R( e ) ﾜ R( e ), e ij 1 7 est ﾊC ( eij ) ｪ j i ; R(e ij ) ｪ , j i ; R i ｪ i ; n i ｪ i ; C(e ij ) ｪ j i , k 1 7 i=1 R i = st R, R ｪ , k ｪ , ( ), , : ni 1 7 j=1 R( e ij ) ﾜ R, , e ij : R( e ) > R( e ). 1 7 est ﾊC ( eij ) st ij i ij i 22

23 i r = R 6ﾓ1 i i n i 1 7 j= 1 R( e ), : 1 7) ( ) (i-1) ; 1 7) i ( ); 1 7) ( ) (i+1) , , ( ) , , , , , : , , , , , , C U i : i(( C ﾉUi6ﾓ1 ﾙ 6ﾒ1) ﾄ ( C ﾉUi 1 ﾙ 6ﾒ1) ( C ﾉU 6ﾑ6 1 + i ﾙ 6ﾒ ( ) ij )). 23

24 , , , ( , , ) C 1 ｭ C j ｭ C p U 1 s 11 ｭ s 1j ｭ s 1p ｭ ｭ ｭ ｭ ｭ ｭ U i s i1 ｭ s ij ｭ s ip ｭ ｭ ｭ ｭ ｭ ｭ U n s n1 ｭ s nj s np

25 s ij ｪ , U i C j , , n : 1 7 sij ﾜ P P j, j i= , ( , ) , : ｪ ( , ); ｪ ; ｪ , ( ) , : 1 7) ; 1 7) ; 1 7) ; , : , , // / ｨC , // , : : , ｨC

26 , , , ｪ , ｪ , , : , , , ｪ : ｪ ; ｪ ; ｪ ; ｪ ; ｪ ; ｪ ; ｪ , , , , , , , , : , ,

27 , , ｪ : ( ) : % , : , , , , , , ,

28 ,

29 , , 65 % , ｪ ,

30 , ｨC , , , , , ｪ , ,34 % ( ) ｨC , , , , ｪ , ( , ), , ｪ , ｨC : , , IMF Statistics Department COFER database and International Financial Statistics, 2008 ( 30

31 , , ( ): ( , ); , ; ; ; ( ), : , , , : , , , , , ( , , ), ( , ) , , ｪ , , , , , , , $/ Brent, WTI $/ ( ) , , , ; % $ ( ) : 2004ｨC ,

32 ｪ ｨC ｨC , ｨC (1 7=0,21), (1 7=0,65) ( ) , ( ), ( ) , , ｪ , , , ( , ,7) , : Brent 1 7 WTI ( , 1 7=0, =0,66) ( ｨC0, ｨC0,07) , : , , , , : ,

33 , , , , % / (1 7=0,32) , , , ( ) , , , , ｨC , , , , , ｨC ( ) : / , ( , ) Brent03; : : ( ), Brent03, ｪ , ( ),

34 , // ｨC , : , : / : , : : : , ( ) , , , , , , , ( , , , : , ) ｪ ( ) ( , ) , ,

35 , , , : , ( ) : ｪ , ｪ ｪ , : ( y =0 ｪ , y =1 ｪ ), ( x 1 ), ( x 2 ), ( x ), ( 3 x 4 ) y, ｪ x, 1 x 2, x, 3 x ｪ ｪ ｪ ( ｪ ) , b* x e M( y) = P( y = 1) = ｦﾋ( b* x) = b* x 1 + e Econometric Views Log likelihood l ｨC ｨC Restr. log likelihoodl ｨC ｨC LR statistic (4 df) ,5467 Probability(LR stat)

36 : 1) R ps = 0,5467; 2) (0,6961) LR=76, ｦﾖ ,01ｨC13, , : y 6ﾑ8P( y = 1) e ( = ｦﾋ( xibi ) b, i ｦﾋ = ) y 2 6ﾑ8xi (1 + e ) X1 ( %) X2 ( %) X3 ( %) X4 ( %) -0, , , , : 1) % ,024 % , ; 2) ｪ , ｪ , ｪ ,067 %; 2) ( ,12 %) ; 4) % , ,26 % , , : , , // ｨC , , , : ,

37 , , : / , , , , , , ( ) , , , , , , ( ), k , , , , ,

38 , : Statistica, SPSS, Stata, SAS SPSS , , , , , ｨC , , ｪ , (1 7 12, ) ( ) ｨC , , , , (r 1 7 0,8) , , , ,50 % , ｪ , Varimax , n Achim Bｨｹhl, Peter Z02fel. SPSS 12 Einfｨｹhrung in die moderne Datenanalyse unter Windows. 9 Auflage. Mｨｹnchen; S; Peter P. Eckstein. Angewandte Statistik mit SPSS. Praktische Einfｨｹhrung fｨｹr Wirtschaftswissenschaftler. 6 ｨｹberarbeitete Auflage. Wiesbaden S. 2 Statistisches Jahrbuch Sachsen Statistisches Landesamt des Freistaates Sachsen. Kamenz, S. 38

39 , ,76 % : ; ; ; ; , ; ; f (16,30 % ) , : ; ; ( ); ｪ , f ｪ f f f ｨC , , , ｨC1 1 7 f ｪ ; ｨC3 1 7 f 1 < ｨC1 ｪ ; 1< f ｪ f , f f ｪ f i , ｪ f : ｪ , ; ｪ , , , , ; ｪ , , ｪ

40 % , , ｪ , , , ｪ , , ,0 40

41 , , , , ｨC f f , , , , , , , , , : , , , ( ), , , : , , Interbrand , ,

42 , Interbrand : , , , , ｪ , , , : , % , , , ｪ ｪ : , , , , , , , , , , , , ｪ , , : 1 7) ) ( ) , XML Funny Yandex / / , , , ｪ , , XML (xml.yandex.ru) ｪ ,

43 , , : , , , , , , , : ｪ ( ) , , : 1 7) ; 1 7) , ; 1 7) ; 1 7) ( ); 1 7) ( , ｪ ｪ , ) , % , , , , , , : 1 7) ｪ ; 1 7) ｪ ; 1 7) ｪ ; 1 7) ｪ ; 1 7) ｪ , ｪ

44 , , , , , , ｪ , , ( , ) , , , , , ( , , ) , ( ) , , , ( ) , , , :

45 , , ｪ , , , , , , , : , , , , , , : ? , , , , , , , , , ｪ SPSS , , ｪ , , ( ), 2007ｨC2009, : // ｨC88. 45

46 SPSS , , , SPSS , , , , , , , ,9 % (38 % ｨC ) , , ｪ (43,5 %) , , (34 % ,5 % ) , (37 % %) , , 46

47 , % , , % , , , ｪ : ｪ 35 %, ｪ 30 %, , , , , (2 000ｨC ) ｪ 36 %, ｪ 34 % , % , ｨC , , , , , ｪ 36 % , , , // ｨC // ｨC : ,

48 , ｪ ( ) , , , , , , , , , , , , , G. Borjas, L. Christofides, C. McKenna, J. Mincer, B. Jovanovic, D. Parent, H. Lehmann, J. Wadsworth, , ( , , , ) : , , ( ), , , , , , , ,

49 , , , , , , ( , ) Stata , : , logit 1 7 probit , , (switching regression) ( ) ｪ , ｨC : 1) : ; 2) ( ), , ; 3) ( ) ( ) ( ): ; 4) , ( ); 5) : , ( ) , , ,

50 ｨC , (71,3 %), , , % ｨC : 1) , , , , ; 2) , , , ; 3) ; 50

51 134) ; 5) , , , , , ; 6) , , , , : / : , , : ? // ｨC , // / , ｪ : // (37) : ? WP15/2007. Groot W., Verberne M. Aging, job mobility, and compensation. Oxford Economic Papers, New Series. Vol. 49. N 3. (Jul. 1997). P. 380ｨC403. Heckman J.J., Lochner L.J., Todd P.E. Fifty years of Mincer earnings regressions. National bureau of economics research, Working Paper N 9732, Heckman J.J. Sample selection bias as a specification error // Econometrica. Vol. 47. No. 1. Jan P. 153ｨC161. Mincer J., Jovanovic B. Labor mobility and wages. National bureau of economics research, Working Paper N 357, June Lehmann H., Wadsworth J. Tenures that shook the world: worker turnover in Russia, Poland and Britain. IZA Discussion paper, December Lung-Fei Lee Generalized econometric models with Selectivity // Econometrica. Vol. 51. N 2. March Rosen S. The theory of equalizing differences // The Handbook of Labor Economics. Vol. I / Ed. by O. Ashenfelter and R. Layard. Elsevier Science Publishers BV,

52 : , , , , , , : ｪ ; ｪ ; ｪ ; ｪ ; ｪ ; ｪ ; ｪ ; ｪ , ; ｪ ; ｪ ; ｪ , , ｪ , , ; , ; , ,

53 ? : , , , , , , , , , , , , ( ), , ? , , , , , , , , , , , , , , , , ｪ , , , , , ,

54 131 7, , , , , , , , , , : , , ｪ , , , , , , , , , , , ｪ , , , , , 1 7, , , , ｪ , , , , , 54

55 , , : : 00 ｭ , : 1999ｨC : , , , ｪ : ｪ , , , % , , ? , , ｨC ( 1 7 % ) * , , ,2 2,9 13,5 2,2 53,9 0,9 44,5 0, ,7 ｨC 6,8 ｨC 12,3 ｨC 15,5 ｨC ,3 5,2 4,5 8,2 1,2 29 1,6 34, ｨC 23,9 ｨC 20,5 ｨC 5,3 ｨC 3,3 * ｨC

56 , (1 7 %) ,3 16,6 30, , , ,5 0,3 9, ,9 2,6 6, , , , , , , , , , , , , , , ｪ , , , , , ,

57 , , , , ｪ , , ｪ , , ｪ ( , , , ) , , ( ) , , , , ｪ ｪ , , , , , , , , : 57

58 13 ｪ , ; ｪ ; ｪ , , ; ｪ ; ｪ , ｪ ｪ , , , , , , , , , , , , ｪ , , : , : NOTA BENE, , : , / : ,

59 ( ) , , : 1) ; 2) ; 3) ｰ ｱ ( ) ; 4) , , : , , : 1) / ; 2) / ? ; , , , , , , , , , , , , max , , // : , , ,

60 13min , ｨC , , , C , C , , , , , , , ; , ; ( ) , , , / ,8 (36) % (55) % , , / , ( ｨC ) , [1] 1 7 [2] : ｪ ; : ｪ ; : ｪ ; : ｪ : ( ) // ,

61 ; ( ) , [2] ; , , ( , ) , , , , , , % ｨC , , , ｨC , ( %) ; [1], , , min ( ) , , ( ): 1) max , , ｪ ; 2) : , , , , , , : , , ( ) ,

62 , : / , , , , , , , , , : 1 7) / ; 1 7) / ; 1 7) / ( ) ( ) ｪ , , ( / ), , ( / ), , ( / ) / / / , ｪ , ( , , , , , , , , , , , , ) ( , , , , , , , , , , , , , , , , ) ; , , , / max : 1) , ) ( ), ) ｪ ( ) ｪ ; , ｪ , , , , , , ;

63 , , , , , , ｨC , , , ( ), , ( ) , ｨC ( ｪ , ｪ , ) , $ ( ) ,1 3821,2 6387,8 7573,3 ｨC ,9 625,5 1147,4 1581, ,5 267,6 380,3 488, ,1 111,2 162,7 233,1 ｨC , , , ,

64 ( ) ,8 7573,3 9333,8 597, ,4 1581,7 2015,9 89, ,3 488,7 594,3 9, ,7 233,1 291,3 9, ( ) [ / ], : ,0155 [ / ] ,26 %, ,0109(0,88 %) ,0046 (0,38 %) ｨC , , : 1) ｨC = 2199, ; 2) = 107,5; 3) = 45, ｪ , , m03 ( , ) n ( , ) , , ( ) , ( ,2) , [1] : // , : , ｨC129. [2] : , ( /2005 (1 7), ｪ ) 64

65 , , , , , : , , [1], [2, 4] Q. n ﾓ1q 1 7 i Q=6ﾓ1ln e 1 7, (1) n 1 7 i= q ｪ , i ( p ) i ( ): p ｪ , ; 1 p ｪ , ; p ｪ , ; p ｪ : N ｪ , ; 65

66 13N n = ｪ ; 4 ｦﾁ ｪ ; ｦﾂ ｪ ; S ｪ ; 0 ｦｵ, 1 ｦｵ ｪ , [3], ( ), : 1 7 N 1 7( ｦﾁ6ﾓ1ｦﾂ) ｦｵ 1+ ( 1 6ﾓ1ｦﾁ) ｦｵ21 7, ｦﾂ ﾜｦﾁ ｦｵ = N ( 1 6ﾓ1ｦﾂ) ｦｵ2, ｦﾂ>ｦﾁ p1, p2, p3, p : ｦﾁN p1 = 4 (3) 1 7kN 1 7( ｦﾁ6ﾓ1ｦﾂ) ｦｵ 1+ ( 1 6ﾓ1ｦﾁ) ｦｵ21 7, ｦﾂ ﾜｦﾁ p2 = kn ( 1 6ﾓ1ｦﾂ) ｦｵ2, ｦﾂ>ｦﾁ (4) k ｪ , ( ), ( ) (1 71 7), (2) k N 1 7 S0( 16ﾓ1ｦﾂ) 6ﾓ1 (( ｦﾁ6ﾓ1ｦﾂ) ｦｵ 1+ ( 1 6ﾓ1ｦﾁ) ｦｵ2), ｦﾂ ﾜｦﾁ (5) p3 = k 1 7 N 1 7 S0( 16ﾓ1ｦﾂ) 6ﾓ1 ( 1 6ﾓ1ｦﾂ) ｦｵ2, ｦﾂ>ｦﾁ p = N 6ﾓ1ｦﾂ (6) 4 1 ( ) p, p, p, p : p1 p1 = N (7) 66

67 13p2 p2 = (8) SN 0 ( 16ﾓ1 ｦﾂ) p3 p3 = (9) p2 p4 p4 = (10) N p : pi 6ﾓ1 pi 1 7, p * 0 i ﾜ b 1 7 pi 6ﾓ1 p, i i = 1 qi = 1 7 (11) pi 6ﾓ1 pi, p * 0 i > b pi 6ﾓ1 pi b ｪ , p2, p3, p : 4 0 pi 6ﾓ1 pi qi =, i = 2,3, 4 * 0 (12) pi 6ﾓ1 pi * p ｪ , i , ; 0 p ｪ , i : p i p i q i 0, : : N = ; S 0 = p ; ｦｵ 1 = p ; ｦｵ 2 = p ; k = 2, * ( p, i p ) i pi p i p1 ﾜ 0.6 ; p p 1 > 0.6 * p i p p p p1 ﾜ p 1 >

68 Mathcad Q = Q( ｦﾁ, ｦﾂ ) ( ) , ｦﾁ= 0.6 ; ｦﾂ = 0.6, : p = 19 1 ( 60% ); p = ; p 2 3 = ; p = 52 4 ( 40% ); Q = Q( ｦﾁ, ｦﾂ ) = : ｪ , ; ｪ , , ; ｪ , Q= Q( ｦﾁ, ｦﾂ) 68

69 , // , ｨC : , , // http: //www. mavriz.ru/articles/2003/3/180.html , , // ｨC , , , , ｨC , ｨC , , , , : , , , ｨC , ｨC , , ｪ , , , ,

70 , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,

71 ｪ , , , , , , , , , , , , , , , , , , , , , , , , , ,

72 , , , , , ｪ , , , , , %, ｪ 64 %, ｪ 73 % , , , , , , , , , , , , , : , , , , , , ｪ , , , , , , , , ,

73 , , , , , , ｪ , , : % % , , ｨC9 % , , , , ｪ 1 7 5, , , ｪ ( )

74 , , , (1 71 7) ( ) , , , , , , , , : ｪ ; ｪ ; ｪ , ; ｪ ; ｪ ｪ , , , ,

75 : , ( , , , %) ( , ; ) ( , ) ( , ( ) ) , ( ), ( , , , ) , ( , , ) , ( , , , , ) , , , ,

76 , , , , , : ｪ ; ｪ , , , ｪ , , , ( ) , , 76

77 : ｪ ; ｪ ; ｪ , ; ｪ , ; ｪ , : ｪ ; ｪ ; ｪ ; ｪ , , , , , ｪ

78 ｪ ( ) : , , ? , : ( ), , , , ｪ (1979) , ｪ ｪ , ｪ , ,

79 , , , ｪ : , / ? , , ( , ｪ , , ): p q lk l l lk lk lk lk rgi = ｦﾁ + ｦﾂ 66rgy + ｦﾂ 66rgp + ｦﾂ 66inf + ｦﾂ 66inf + ｦﾂ 66r + ｦﾃ 66rgi + ｦﾅ + ｦﾍ 66, t 1 t 2 t 3 t 4 t6ﾓ11 5 t i t6ﾓ1i t j ｦﾅt6ﾓ1 j i= 1 j= 1 lk rgi ｪ , t lk , rgp ｪ , t , r ｪ lk t lk rgy ｪ t inf ｪ t t ( : 1970ｨC 2004, ), l ( ), , k ｪ , rgi lk t k, , l, t i = 1, p, j = 1, q, p 1 7 q , ,

80 , : , , ( ; ; ) , , , , , , , , , , , , , , , , , , , : 1993ｨC2004, : , ( , ): ; ; , ; , ;

81 , , , , , , , , , , , , , , , ｪ , , , , : , , , , , :

82 ( ) , ( ), , Abel A.B. Taxes, Inflation, and the Durability of Capital // The Journal of Political Economy. 1981, June. Vol. 89. N 3. P. 548ｨC60. Abel A.B. Comment [on Feldstein] // Reducing Inflation: Motivation and Strategy / Ed. by David Romer and Christina Romer. Chicago, Ill.: University of Chicago Press, Auerbach A.J. Inflation and the Choice of Asset Life // Journal of Political Economy. 1979, June. Vol. 87. N 3. P. 621ｨC38. Jorgenson D. W. Capital Theory and Investment Behavior // American Economic Review. 1963, May. Vol. 53. P. 247ｨC59. EU KLEMS, Growth and Productivity Accounts, Part I, Methodology, March , , , , ｨC ｨC ｨC ｦﾁ y = k, 0 < ｦﾁ < 1, y ｪ , k ｪ

83 : ﾞ 16ﾓ1ｦﾈ 1 7 ct 6ﾓ1( ｦﾑ 6ﾓ1n) t 1 7maxU 0 = 1 7 e dt, ﾓ1ｦﾈ k 1 7 ｦﾁ t = k 6ﾓ1 ct 6ﾓ1 ( n + ｦﾄ ) kt, c t ｪ t ; ｦﾑ ｪ ( ); n ｪ ; ｦﾄ ｪ ; ｦﾈ ｪ , ( ｦﾁ < 1) gt = tt + ｦﾓy, t g ｪ ; t t ｪ ; t ｦﾓ ｪ ﾞ 16ﾓ1ｦﾈ 1 7 c t 6ﾓ1 ( ｦﾑ 6ﾓ1 n ) t 1 7 max U 0 = 1 7 e dt, ﾓ1 ｦﾈ ｦﾁ 1 7 k1 7 t = k 6ﾓ1 c t 6ﾓ1 g t 6ﾓ1 ( n + ｦﾄ ) k t, 1 7 ｦﾁ 1 7 g t = t t + ｦﾓk t , , , , , d 1 7 t = rt dt + gt 6ﾓ1 tt 6ﾓ1ｦﾓy, t d ｪ ; t r ｪ t , ,

84 , ( , ) , , ﾍ2 = g y = 16ﾓ1ｦﾁ, , , ( ), ｨC , , , , , , , ｦﾁ 16ﾓ1ｦﾁ y t = kt g t , , , , ( , , ) ( ) ﾞ 16ﾓ1ｦﾈ 1 7 ct 6ﾓ1( ｦﾑ 6ﾓ1nt ) 1 7max U0 = 1 7 e dt, ﾓ1 ｦﾈ 1 7 ｦﾁ 16ﾓ1ｦﾁ 1 7k 1 7 t = kt gt 6ﾓ1ct 6ﾓ1 gt 6ﾓ1 ( n+ ｦﾄ ) kt, 1 7 ｦﾁ 16ﾓ1ｦﾁ d t = rd t t + gt 6ﾓ1ｦﾓ kt gt

85 13 ﾞ 16ﾓ1ｦﾈ 1 7 ct 6ﾓ1( ｦﾑ6ﾓ1n) t 1 7maxU 0 = 1 7 e dt, ﾓ1ｦﾈ ﾓ1 1 7k1 7 ｦﾁ ｦﾁ t = kt gt 6ﾓ1 ct 6ﾓ1 gt 6ﾓ1 xt 6ﾓ1 ( n + ｦﾄ ) kt, ﾓ1 1 7d 1 7 ｦﾁ ｦﾁ t = rt dt + gt + xt 6ﾓ1ｦﾓkt gt, xt = g1 7 t, x ｪ t ( ) , , ( ), , , , , , , , , , , ,

86 , ｪ , , , ｨC : , , , , , , , , , ( ), , , , , , , ,

87 , : (1 71 7) (1 71 7) , , , , , ( , , , ), , ( , ) , ( ), , Saaty, % : , , , , MS Excel , , ｪ , ｪ X 1 7 Y

88 , : ｪ > X > Y ; ｪ < X > Y ; ｪ > X < Y ; ｪ < X < Y , , , , , , : ,

89 , : , , , ( ) // : , (28) , , // : , , : , ｨC , , , (Bagwell K., 2003; Bunch D. S., Smiley R., 1992; Coccorese P., 2001; , 2007) , , , (Schmalensee R., 1983); (Cubbin J., 1981, Spence M., 1980). 89

90 , , , , , , / , , : , , , p A , , , p A , , N , , , , f(x)

91 , ( ), , , , ; ,5, , , ; , ( , ), , , : m ｪ , m > 0; k a 11, k na 11 ｪ , , k a 11 > 0, k na 11> : 91

92 ｪ / ; ｪ , j 1 7 i , p , a , , m , k a 11, k na / f(x) , , / : b ｪ , , k a 12, k na 12, k a 22, k na k a 11, k na 11, p p , a11, a12, a ,

93 , m , k a 12, k na 12, k a 22, k na / , b, , f(x) , , , // , : XIX , ｨC39. Bagwell K. The Economic Analysis of Advertising ( columbia.edu/ kwb8/papers.html) Bunch D. S., Smiley R. Who Deters Entry? Evidence on the Use of Strategic Entry Deterrents // The Review of Economics and Statistics P. 509ｨC521. Coccorese P. Strategic Advertising for Entry Deterrence Purposes // Universita degli Study Di Salermo. Centro di Economia del Lavora e di Politica Economica. Discus. paper Cubbin J. Advertising and the Theory of Entry Barries // Economica, New Series ｨC298. Schmalensee R. Advertising and Entry Deterrence: An Explanatory model // Journal of Political Economy ｨC653. Spence M. Notes on Advertising, Economies of Scale, and Entry Barriers // The Quarterly Journal of Economics ｨC

94 , , , (DCF) (DTA) : ｪ ; ｪ , , ; ｪ : , , , ; ｪ ｪ ; ｪ DCF 1 7 DTA ｪ , , , , , , : ; ;

95 , , ｨC CALL: 6ﾓ1 y66t 6ﾓ1r66t C = S 66 e 66 N d ) 6ﾓ1 X 66 e 66 N( ) (1) ( 1 d2 2 S ｦﾒ ln( ) + ( r + ) 66 t d = K 2 ; d 1 2 = d1 6ﾓ1 ｦﾒ 66 t. (2) ｦﾒ 66 t ｨC : C ｪ , , ｪ CALL; S ｪ ( S CALL PUT); K ｪ , , ( K CALL ｪ PUT); ｦﾒ ｪ S ( ｦﾒ CALL 1 7 PUT); t ｪ ( ); r ｪ ( rt CALL PUT ); y ｪ , , , : , ( ), , , , E&P, , : , , , , , , ,

96 : CALL , , ｨC (1), (2) , t ( ) ( ) , ( ), , (t = 12) , y ( ) /t, t /t (1 7 %) t , ( ) y = 1/12 = 8,33 % , r Euro USD 2028, % ｪ : r 1 7 = ln ( 1+ r d ) ,76 % , ｦﾒ , ｪ , ｪ , / ,66 % ( ｨC ) ｪ , , ,6 % , $ , S : , ,

97 13[( Pextw + Pint ( 1- w) ) 6ﾓ1 ce ] ( 1+ y) n Reserves ﾁ S = (3), Reserves ｪ ; Pint ｪ ; Pext ｪ ; w ｪ ; 1 7e ｪ ; y ｪ ( ); n ｪ ( , ) (4) , (Reserves) , $ (1 7e) 12, (w) 30 % ( ), $ (Pint) 18, ( ), $ (Pext) 49, ( ) (y) 8,33 % , (n) (S), $ (1), (2), (3) CALL , % y 8,33 % , $ S , $ X , t , % ,6 % ( ), % r 6,76 % d1 0, d2 0, N(d1) 0, N(d2) 0, CALL, $

98 DCF, (ｨC ,19 $) : : , Copeland N., Antikarov V. Real Options ｪ A Practitioner ｯs Guide. Texere, Chapter 3, 4, 5, , , : : : , Black F., Scholes M. The Valuation of Option Contracts and Test of Market Efficiency // Journal of Finance Vol. 27. P. 399ｨC417. Branch M.A. Real Options in Practice. John Wiley & Sons, Ch. 1, 2, : , , , , , ｨC6 % , exchange rate pass through , , exchange rate pass through / , ,

99 , , ERPT : , , , , , , , ERPT ) : , ) : ｪ ｨC ARDL : ; ｪ VAR : , VAR , : ｪ ; ｪ ; ｪ , , ERPT ERPT , ,

100 , , , VAR ERPT VAR , , , , , , , , , , VAR VAR x = ｦ oil, gap, ｦ m, ｦ exrate, cpi, t ( ) t t t oil , t gap ｪ t , m ｪ , t exrate ｪ t , cpi ｪ t , , , , , ( ) , ERPT ERPT , t t 1 Duma N. Pass-Through of External Shocks to Inflation in Sri Lanka, IMF Working Paper WP/08/78, March

101 ｦ ( ) j ERPT = ｦ ( ) j : , , , , ERPT, , ERPT , , , , : , ERPT , , , , , ERPT, ERPT , , ERPT , ERPT , , , , , , , ERPT , , , , , ERPT. 2 Mwase N. An Emperical Investigation of the Exchange Rate Pass-Through to Inflation in Tanzania, IMF Working Paper WP/06/150, June

102 , , : , Duma N. Pass-Through of External Shocks to Inflation in Sri Lanka, IMF Working Paper WP/08/78, March Mwase N. An Emperical Investigation of the Exchange Rate Pass-Through to Inflation in Tanzania, IMF Working Paper WP/06/150, June Pesaran M. H., Shin Y., Smith R. J. Bounds Testing Approaches to the Analysis of Level Relationships, Journal of Applied Econometrics, Vol.16, N 3, 1924ｨC1996. Ito T., Sato K. Exchange rate changes and inflation in post-crisis Asian economies: var analysis of the exchange rate pass-trough03 NBER Working Paper 12395, May , [Kinnaird, 1946] , , , , , , , 102

103 [Shubik, 1954], : , , , [Kilgour, Brams, 1997] , , , [Kilgour, Brams, 1997] 1 7 [Carter,1994], ｪ ABC, CBS 1 7 NBC, ABC , 1 7 CBS 1 7 NBC ( ) : ( , , ) [Brams, 1985; Brams, Kilgour 1988] , ; , , , , [Lorenz, 1968], , , , : , , , : ( , ) , , ( , ｪ , , ), , , , , ,

104 , , , , , , ｪ , , , , , , , , , ( ) , , , , , , , , , , , , Kinnaird C. Encyclopedia of Puzzles and Pastimes. Citadel, Secaucus, NJ (USA), Shubik M. Does the fittest necessarily survive? In M. Shubik (ed.), Reading in Game Theory and Political Behavior, NY (USA), 1954, pp. 43ｨC46. Kilgour D.M. The simultaneous truel. International Journal of Game Theory, No. 1(4), pp. 229ｨC242, 1972 Kilgour D.M., Brams S.J. The truel. Mathematics Magazine, No. 70(5), pp. 315ｨC326, Carter B. The late shift: Letterman, Leno, and the Network Battle for the Night. NY, Brams S.J., Kilgour D.M. Game theory and national security. NY, Lorenz K. Personal communication to Martin Shubik (August 11, 1968). 104

105 , ( , , ) , ｪ , , , , , ｪ ( ), ( ) , ｪ ｪ , ｪ ( ) ｪ , : , , , , , , , ,

106 , , , , , , ｪ , , ( ) ｪ ( ) ｪ ｪ , , ( , , , ), , , , , , , , , , , , , ｪ : 106

107 131 7 j j= n (I )= N j n j= 1 6ﾓ5 N ｪ , ; ｦﾂ j ｪ N ; 0303 j n ｪ : I I I I I =, I ｪ ; I ｪ ( , , ); I ｪ ( , , , ); I ｪ ( , , , ); I ｪ ( , , , , , ) , , , , , , j j, 107

108 , , , , : , , , , , , , , , , , , , : , , : : ,

109 ( ) , , , , , , , , , , , , , , , , , ｪ , , , , , , , , , , , , , , , ( )

110 , , , , : ｪ , PD ( ): PD = F( x , 0 b ) x1, x2,..., x7, ｭ , , ( , , , , ) : PD 0 = b0 + b1 x1 + b2 x2 + b3 x3 + b4 x4 + b5 x5 + b6 x6 + b7 x : T 6ﾓ11 T ( X X ) X Y. B = ｪ PD , , PD ｨC PD , , , , , PD 0 : p = w1 x1 + w2 x w n x n, w i x i ｪ : 110

111 13p e PD = 1+ e 1 p : PD = PD0PD , % , , % ｪ T ( , ) , , , ( , ) , T, , ( ): 6ﾓ1ｦﾋｦﾓ F T ( ｦﾓ ) = P( T < ｦﾓ ) = 16ﾓ1 e, (1) T ｪ , , 1 7 ｪ , , P. 6ﾓ1ｦﾋ F T (1) = 16ﾓ1 e = P : ｦﾋ =6ﾓ1ln(1 6ﾓ1 P). (2) (1) 1 7 (2) h: 6ﾓ1ｦﾋh ln(16ﾓ1 P) h FT ( h) = 16ﾓ1 e = 16ﾓ1 e, h=h/365, H ｪ ( ). 111

112 , , , , : ｪ ; ｪ ; ｪ ; ｪ ; ｪ ; ｪ ; ｪ , : , , : , : : , : , : , , // // Risk-Management // , //

113 , , // , , , , , , , , (EMH) , , ｨC (FMH), , , , , , ( ) ,

114 , , , : ( ), < H ﾜ 1 ; , 0 ﾜ H < 0.5 ; , H = log ( R / S ) H =, log( N ) + log( a ) R ｪ , S ｪ , N ｪ , a ｪ , H ｪ R/S N, H : 266H 6ﾓ = 2 6ﾓ1 1, ｪ , 1 7 ｪ , EUR/USD , , , , , : r r i USA = i, EUR i r ｪ n : Y n ﾇ i = 1 n = n ﾇ i = 1 (1 + i (1 + i r EUR i r USD i ) ) % ( ) ,

115 , = , , , , , , , LIBOR , , : n ﾇ EUR (1 + ii 6ﾓ11 ) EUR i = 1 D n = 66 SR n, SR 0 EUR D ｪ n , n EUR ; i ｪ i6ﾓ ( i 6ﾓ1 1) ; SR ｪ n n ( ) : ﾇ USD D n = (1 + i n i = 1 USD i 6ﾓ11 ), USD D ｪ n , n USD ; i ｪ i6ﾓ ( i 6ﾓ1 1) n : EUR D n PV n = USD D n Present Value EUR, , % , = ,

116 , , ｨC , , , , , , , , , , , , , , , , , , , , , , , , , ｪ , , , : : , , : : : ,

117 ｪ ｪ , , , (Domar, 1946), AK (Frankel, 1962), , , , fk ( , 2005) , , (Solow, 1956) , ( ) , , ( , 2002) (De Long, Summers, 1995; Qin D., He X., 2005; , 2007; , 2008) , , , , , , (De Long, Summers, 1995) ,

118 : , (Solow, 1956), ( , 2005) : ｪ , , , , , ; ｪ , , , U ; ｪ , , , : , , : fk // / , De Long J. Summers L, Equipment Investment and Economic Growth, Preliminary: Fri, Aug 11, Domar E. Capital Expansion, Rate of Growth, and Employment Econometrica, Vol. 14. N 2 (Apr., 1946). P. 137ｨC147. Frankel M. The production function in allocation and growth: a synthesis, American Economic Review, Vol. 52. N 5. P. 995ｨC1022. Qin D., He X. How Much Does Investment Drive Economic Growth in the PRC? April Solow R. A contribution to the theory of economic growth. Quarterly Journal of Economics, Vol. 70. P. 65ｨC

119 ｪ ( ) , , , : ( ) , , , , , , , , , (income-capitalization method) , , , ( ) ,

120 , , , , , , , , ｨC30 % , , , , , , , , , : , , , , , , , , , , , , ｪ , , ( ), ( , , ｨC

121 , ｨC ｨC , ｨC ) ( , , , , ) ｨC ｨC , ( ), ( ) , , , , ( ) , , , , ( ) ｨC ( , ) (2ｨC3 % ) : , ( ) , , , , , ｨC ｨC : VT ( 16ﾓ1ｦﾓ 6ﾓ1 c) + [ RentT 6ﾓ1 ExT ] R =, R ｪ I0 + CT ; V T ｪ ; RentT ｪ ; ExT ｪ ; I0 ｪ ; C T ｪ ; 1 7 ｪ ; c ｪ ; T ｪ ｨC ｨC

122 ｨC ; ｨC , ; ｨC , ｪ , , , ( ) , , , , , , ( ) % , , , , ( ) , , , , , ｪ

123 , , , , , , , , ( ) , , , , , , , , , , , , , , (1) ﾞ 1 6ﾓ1iｦﾘt C ( ｦﾘ ) = ( ) ; y t 66 e dt ｦﾐ ﾞ (1) 123

124 , , ( ) , , , [2] ｪ , , , , , , , , , , , , , , , , , , , , , , ( /1 7). 124

125 , , : 1) ( ) ; 2) t f(t) : + ﾞ 1 7 6ﾓ1 ﾞ t 6ﾓ1 x 1 7 W ( x, s ) = ｦﾗ * f ( t ) dt s 1 7 s 1 7 (2) t ｪ , x ｪ , s ｪ , , a (*) ｪ , , , , , ｪ , , , , , , , , : ｪ ; ｪ , ; ｪ

126 (1 7, , ) , , ｪ , , [1] : , [2] : ｨC1 7, , , ｪ ( ) , , , : , : Aghion, Howitt (1992) , , Sachs & Warner (1995, 1997, 1999, 2001), Corden (1982), Torvik (2001, 2005) , , , ,

127 , (1956), (1986) (1988) (1992, 1998) , , , , , ｪ , , (creative destruction) , , ( ) , , ｪ , ( , ) ｪ ｪ , , , , , , , , , , ｪ ｪ , , (Aghion, Howitt, 1992) , , ,

128 : 1. E(A) 1 7 = ln(1 7)1 7nA input output x 2. x = x, P = 1 7Ax, 1 7 >0 x y = Ax =Pm -wm>0, P=(1-1 7)P N Oil x m 5. E(revenue) = 1 7e 1 7V +V -Cw m ( t+1 t+1 ) ﾞ r1 7 t t t1 7 0 GDP = A x + Pm, U = E e GDP(1 7)d1 7, n, x, m, e ｪ , , , ; A ｪ , P ｪ , x x ｦﾐ ｪ , y ｪ , m ｦﾐ ｪ , ｦﾓ ｪ ( ), P ｪ , Oil N ｪ , revenue ｪ , 128

129 13ｦﾌ 1 7 0ﾍ , V + ｪ , x t 1 V + ｪ , m t 1 Cw ｪ , GDP ｪ , U ｪ , t , ｨC Aghion, Howitt, , , ( ) ( ), , , , , , , (1) , : (2) , (3) : , , , (4) , ｪ , , ｪ ｪ ,

130 Aghion, Howitt P. A Model of Growth Through Creative Destruction, Econometrica. Vol. 60. N 2. (Mar., 1992). P. 323ｨC351. Corden W., Neary J. Booming sector and de-industrialisation in a Small Open Economy, The Economic Journal Vol. 92. P. 825ｨC ( ) , , , , , , ( ) c1 7a1 71 7ap ｪ , , , , , ,

131 , , , , , , , , , , , , , , , , , , , , , , , , , , , ,

132 , , , , , , , , , , , , , , , , , ( ) , , , , , , , G1 71 7P, , , : ; ; ,

133 , , , , , , ( ) , , , , , , ｪ , , , , , , , ｪ , , , , , ,

134 , , , , , , , ( ｪ ) , , , ,

135 , ｪ % % , : , , : , , , : , ｪ , , , , ,

136 , , , , , , , , , , , , , , , , , , , , , ,

137 , , , , , , , , ( ) : { } 1 7 i 1 7 =, i = 1, m , ｪ : { } 1 7 j 1 7 =, j = 1, n , V = v11 v21... v m 1 v12 v22... v m v1n v2n... v mn

138 , ( ): V = max max v ij i j ( ): V = max min v ij i j ( ) ｪ , V = max ｦﾋ min v ij + (1 6ﾓ1 ｦﾋ) max vij i j j ( ) , , V = min max s, ij sij = maxv 6ﾓ1v i j i ij ij , , : ? , , , , , ( ), ｪ , , , , USD/RUR=35, , ?

139 j : , 1 7 USD/RUR ,59; , 1 7 USD/RUR ,59; , 1 7 USD/RUR ,8; , 1 7 USD/RUR ,8; , 1 7 USD/RUR ,59; , 1 7 USD/RUR ,59; , 1 7 USD/RUR ,8; , 1 7 USD/RUR , i : ; / ; / , ; ｪ , , , , , $ ｨC , $ , , $ , , , , , , ( )

140 , , ｪ , ｪ , , , , , , , , , , , , , , , /1 7.: , , : , ( ) ｪ ,

141 : ( ) ｪ , , , , , , ｪ ｪ : , : , , ｪ , , ( ), % , , , % : , , , , ,

142 , , , / : : , , ; , , , , ( , ), ; , , , , , , , ｨC ｨC ,07 % 114,41 % 153,33 % ｨC57,92 % , , , , , , ,52 % ( ｪ ) 1 7 1,12 % ( ｪ 7324, ). 142

143 , ｪ ,90 % ,12 % ,00 % ( ) 10,62 % ,81 % ,79 % ,15 % ,95 % ,65 % , , (2006ｨC ) ｪ ｪ (ｨC42 % ｨC ), (48,5 % % ｨC ) ｪ , , ｨC , , ｪ , , , ,

144 , , VAR R , , % VAR % ｪ ｪ ｪ ｪ % 1,51 % 1,52 % 2,55 % ｨC0,1523 ｨC0,169 ｨC0,179 ｨC0,141 ｨC17,56 % ｨC18,04 % ｨC17,99 % ｨC17,19 % 10,08 % 10,61 % 10,49 % 9,96 % 100 % 96,02 % 97,43 % 93,71 % 1,028 0,987 0,983 1, ｪ , , , , , , ,55 %, ,

145 VAR, , R2, , % , VAR, ｨC17,19 %, , , ｪ Markowitz, H. M., Todd P. Mean-Variance Analysis in Portfolio Choice and Capital Markets // Frank J. Fabozzi Associates, New Hope, Pennsylvania, Niedermayer, A., Niedermayer, D. Applying Markowitz's Critical Line Algorithm // Diskussionsschriften, Universitat Bern, Volkswirtschaftliches Institut, : , , , , ,

146 , , , , , , , S ｪ , ｦｷ : S 1 7 S , S ｪ , , i, i S ｪ , , , , s , , ｦｷ (s) = 6ﾒ ( , ), ｪ ( ) , , [3] : , , , , , , ｦｷ , : S 6ﾛ3 S , , s ﾊ S 6ﾍ2 ｦｷ(s) 1 7 S = 6ﾒ ,

147 , , : , , , , : , , , , , , , , , ｦｷ NP ( ) ( ) A A NP, ( G ) V ( G, s) , ﾑ6G ﾊ A6ﾑ9s V ( G, s) = ﾑ6H 6ﾒ4 A 6ﾑ6t V ( H, t) = s A, V ｪ , B A ( , ), R, x ﾊ B 6ﾍ2 R( x) ﾊ A NP , NP, NP ｨC ( , , [1]), NP , ( , , , ( x ﾅ 01 y ﾅ z) ﾄ ( y ﾅ y ﾅ 01 t) , ) , , NP x y 1 7 z , ｦｷ ( 1 7 ) = z 1 7 i ｦｷ ( z i ) = y i , ( si ﾅ s j ﾅ sk ), s , s, ijk s 1 7 jki s kij , ｦｷ ( s ijk ) = { s jki, yi}, s i = x, 1 7 i ｦｷ s ) = { s, z }, s i = 01 x , i ( ijk jki i i i i i 147

148 , y, i x i , 1 7 z i, , , , : , , , , , , y 1 7 i z i , , , , , , y z : i , z, i i y, i i x i x , , , , NP , : , M 1 7 F, F S = m, 1 7, m } 1 7 S = f, 1 7, f } M { 1 k F { 1 n M M 1 7 F S M ﾁ S ( F F M ), i 1 7 ｪ j { m i} ﾁ S F 1 7 S M ﾁ { f j } , S 1 7 F S : M SM 1 7 S F , m i F M S F , i f j SM j S ( S M ﾁ S ), F ,

149 , : ( mi, f j ) , f , p (, ) ﾊ S F mi f 1 7 p f p 1 7 i f, j m , q (, ) ﾊ S M mq f 1 7 j mq 1 7 j m. i [2], , , , , , : m, f ) 1 7 m i, f ) ( i j ( p F f p 1 7 i f, F j , m, f ) 1 7 m, f ) m 1 7 q M j i ( i j ( q j m , , , , : , S, S M 1 7 j , S , S , , , S , , , S , , [1] , , : : , [2] Roth A.E., Sotomayor M.A.O. Two-Sided Matching: A Study in Game- Theoretic Modeling and Analysis, Cambridge University Press, F i 149

150 13[3] Acemoglu D., Egorov G., Sonin K. Coalition Formations in Nondemocracies // MIT Department of Economics Working Paper. N 06ｨC33. Available at SSRN: , , , , , ( ) ｨC , , , , , , ( , ) logit, probit , , , , ( ) , , , %, ｪ % , % %, % %. 150

151 , , % , , , , : Rt () = u+ ct6ﾓ1 St (), t ﾝ 0, N( t), St () = 1 7 X, j = 1 j u ｨC ; c > 0 ｨC ; St () ｪ t ; Nt () ｪ , { X j } ｪ , , , , , [0, t] : 151

152 13ｦﾗ (t,u) = P{sup( St ( ) 6ﾓ1c66t)>u} , Mathematica , , , , , Rt () R () t, R () t, ( ( R ( t), R ( t )), , Rt () N10 () t N01 () t N11 () t (1,0) (0,1) (11) j j j j= 1 j= 1 j= , (2.2) Rt () = u+ ct6ﾓ1 X 6ﾓ1 X 6ﾓ1 X u = u + u, c = c + c, N N 10 () 01 () X = X + X, (11) (11,1) (11,2) j j j t ｪ ; t ｪ ; N 11 () t ｪ , ,

153 (IAMO) , ( ) ( ) , ( , 2006) ( ) ( ) , ( ) ( ), ( ) ( , , Schroeter (1988), Azzam and Pagoulatos (1990)) ( ), ( ) , , : (2003). 153

154 13( ) (Bresnahan, 1982) , , ( , , ) ( ) ( M ) Y, ( N ) : Y = f ( M,N) (1) : W M = g( M, S), (2) W ｪ M S , , , , (1) 1 7 (2) : ｦｰ = P 66 f ( M, N) 6ﾓ1WM 66 M 6ﾓ1 WN 66 N, (3) P ｪ , 1 7 W ｪ N , : 1 7 ｦｨ 1 7 WM = P 66 f, M (4) 1 7 ｦﾅ M

155 ｦｨ ｪ , , f ｪ M ｦﾅ M = ( 6ﾑ8M 6ﾑ8WM )( WM M ) ｪ ｦｨ = 0, ｦｨ = 1, ( ) ｦｨ, , ｦｨ , (2) (4) (Perekhozhuk, 2007) , , (Christensen, Jorgenson, Lau, 1973) , , ｦｨ , ( ) (Amemiya, 1977) SAS (2008) ( Perekhozhuk, 2007) ｦﾂ M (5.45) (1.58) (2.40) (6.53) (4.59) (3.73) (1.65) (4.99) (2.11) (1.69) (3.33) ｦﾂ D ｨC0.390 ｨC0.219 ｨC ｨC ｨC0.056 ｨC0.106 ｨC ｨC ｨC ｨC (ｨC2.27) (ｨC1.45) ｨC (0.00) ｨC (ｨC0.48) (ｨC0.44) ｨC ｨC (ｨC1.46) (ｨC2.03) ｦﾂ B (7.94) (4.85) (2.89) (4.35) (3.12) (2.97) (3.48) (5.13) (5.45) (9.50) (7.14) ｦﾂ F ｨC0.649 ｨC0.760 ｨC0.559 ｨC0.737 ｨC0.803 ｨC0.745 ｨC0.901 ｨC0.998 ｨC1.820 ｨC ｨC (ｨC3.77) (ｨC3.40) (ｨC3.85) (ｨC1.86) (ｨC4.72) (ｨC3.91) (ｨC2.16) (ｨC4.58) (ｨC3.94) (ｨC5.43) (ｨC3.88) 155

156 13ｨC2.836 ｨC3.384 ｨC8.432 ｨC ｨC ｨC4.113 ｨC5.445 ｨC ｨC ｦﾕ C (ｨC2.34) (ｨC1.96) (ｨC5.28) (ｨC1.60) (2.77) (ｨC2.79) (0.55) (ｨC4.80) (ｨC2.70) (ｨC2.46) (ｨC4.06) ｦﾁ M (16.89) (7.50) (7.86) (8.78) (9.04) (15.32) (8.49) (8.40) (10.19) (8.77) (8.43) ｦｨ (0.62) (0.86) (1.24) (1.61) (0.97) (0.60) (1.14) (1.51) (1.28) (1.75) (1.76) R DW ( ｦﾂ M ) , ( ｦﾂ D ), ( ｦﾂ B ), ( ｦﾂ F ) ( ｦﾁ M ) , , , ｦｨ , , , ｦｨ , ( ) ｨC , // ｨC

157 13Amemiya T. The Maximum Likelihood Estimator and the Nonlinear Three- Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model // Econometrica N 45. P. 955ｨC968. Azzam A. M., Pagoulatos E. Testing Oligopolistic and Oligopsonistic Behaviour: An Application to The US Meat-Packing Industry // Journal of Agricultural Economics N 41. P. 362ｨC370. Bresnahan T.F. The oligopoly solution concept is identified // Economics Letters N ｨC92. Christensen L.R., Jorgenson D.W., Lau L.J. Transcendental Logarithmic Productions Frontiers // Review of Economics and Statistics N 55. P. 28ｨC45. Perekhozhuk O. Marktstruktur und Preisbildung auf dem ukrainischen Markt fuer Rohmilch. Studies on the Agricultural and Food Sector in Central and Eastern Europe (Leibniz-Institut fｨｹr Agrarentwicklung in Mittel- und Osteuropa) N 41. SAS User ｯs Guide, Version 9.2, Cary, NC: SAS Institute Inc Schroeter J. R. Estimating the Degree of Market Power in the Beef Packing Industry // The Review of Economics and Statistics N 70. P. 158ｨC ( ) , , , ｪ ( ) , ( ) , , 157

158 ( ) , ( ) , , ( , ) , , , , , , , , ( ), , , ( , ) , , , , , , , ( , , , , , , , , ), US GAAP EViews

159 : ｦ D = a + bdef + e, (1) it it it ｦ ｪ i t ; Dit DEFt = Divt + X t + DWt + Rt 6ﾓ1 C ｪ , t ( Div, t X t, DW t R ) t C t , ｦ D it > 0 ; , ｦ D it < , a = 0, b = , , b < ( ) , , : * ｦ D it = a + b( Dit 6ﾓ1 Di, t 6ﾓ1 1) + e, (2) it * D ｪ ( ) it i t , ｪ b > 0, , , b < 1, b, // , : , , // (5). 159

160 , b , , ( ) , , ｪ : 1 7 Div B 1 7 R Et = a + b REt + b BILL + b TERM + b b b St + u, (3) 1 6ﾓ ﾓ11 t 1 7 P 1 7t 6ﾓ M 1 7t 6ﾓ R ｪ t ; Et BILL ｪ t t ( ); TERM ｪ ( t ) t ; 1 7 Div 1 7 ｪ P 1 7t t ; 1 7 B ｪ M t t ; S ｪ t t , , , (leading indicators) ｪ RTSI ( ), MICEX ( ), MISEX10 ( ) Liabilities and Shareholders' Equity , //

161 ｪ , , , , ( , R ) , , , , , ｪ , , : : , // // (7) : , // (6) , : , , // (5). Ivashkovskaya I.V., Solntseva M.S. The Capital Structure of Russian Companies: Testing Trade-off Theory versus Pecking Order Theory //

162 : , ｪ ( ) , ｪ ( ) , , , , [Claver et al. 2006] , , , , , [Whittington et al., 1975; Kumar, 1982; Bhartwaj et al., 1993; Geroski et al., 1997; Kaur, 1997; Glancey, 1998; Kakani et al., 2001; Rao and Rao, 2003] , , , , , , , , , Q [Harabi, 2003; Claver et al. 2006] [Rao and Rao, 2003], ｪ [Narayan, 1998] [Feeny and Rogers, 1999] , , [Ramezani et al., 2002] , , , 162

163 , , , , , , , [ , 2008] , , ( ) : (Return on Capital Employed, ROCE) (Return on Operating Assets, R OA ). ROCE , 1 7 R OA ｪ , , NI + Interest ROCE = (1.1) TA 6ﾓ1 CL US US E( R ) = r + SS + ｦﾂ ( E( R ) 6ﾓ1 r ) (1.2) OA f adj M f 163

164 , [ , , 2008] , , , , , , , , Ruslana Bureau Van Dijk Electronic Publishing ( , , , , , , , , , , , , % (F-test) MANOVA

165 ( (Wilks ｯ lambda) % (F-test)) ( ) p- value % (F-test) , , , : // , // Claver E., Andrew R. and Quer D. Growth Strategy in the Spanish Hotel Sector: Determining Factors // International Journal of Contemporary Hospitality Management, Vol. 18. N 3. P. 188ｨC205. Geroski Paul A, Machin Stephen J., Walters Christopher F. Corporate Growth and Profitability // The Journal of Industrial Economics, Vol. 45. N 2 (June). P. 171ｨC189. Glancey K. Determinants of Growth, and Profitability in Small Entrepreneurial Firms // International Journal of Entrepreneurial Behavior and Research, Vol. 4. N 1. P. 18ｨC27. Feeny S. and Rogers M. The Performance of Large Private Australian Enterprises, Melbourne Institute of Applied Economics and Social Research, Working Paper N 2/99, Kaur K. Size, Growth and Profitability of Firms. New Delhi: Gyan Publishing House, Kumar P. Corporate Growth in India: A Case Study of 100 Largest Companies, Deep and Deep Publications. New Delhi, Narayan K. Technology Acquisition and Growth of Firms under Changing Policies Regimes: A Study of the Indian Automobile Sector Ramezani C.A., Soenen L., Jung A. Growth, Corporate Profitability, and Value Creation, AIMR Rao M., Rao B. Determinants of Growth Rate: Some Methodological Issues with Data from Fiji

166 , , , , , , , , , , , , ( ) ( ) ,

167 , , , , , , , : ｪ , , , ( , ) , , , : 1) ( ); 2) ( ) , ( ) ( ) , , ,

168 , // : : , ｨC // ｨC // : : : / : , ｨC

169 , /

170 ( )

171

172 ( ) ( ) , : , , ｭ , , , , , , , , , , ｪ , , , , , , , , , , , ｪ ｪ , , ,

173 , , , , , , , , , , , , , ｪ ( ｨC31 %, %; %, %; % ｪ , ) , , % ｪ , % ｪ , 31 % ｪ , , , , , , % , %, % ( ) , ｪ ( , , , , ) , , 29 % ｪ , , , ,

174 , , , % , ｪ % %, ｪ 33 % ｪ , , , ｨC , , , , , ｪ % , , ｪ , , , , ｨC , , , , % , ｨC % , ｨC ｪ 27 %, ｪ 28.5 % ( ), % ( ), % ( ) , %, , , ｪ 71 %, ｪ %, ｪ 24 % ,

175 %, ｪ 55 %, ｪ 37 %, % , %, ｪ 53 %, , ( , ) ｪ , ｪ , ｪ , , ｪ , ｪ , ｪ ( , , ) , , , , , , , , , , , , , , , , , , , , ｨC ｨC ｪ , ｪ % , ｪ , , ｪ

176 % % % % , ( ｪ 1.5), ｪ ｨC ｨC , ｪ , , , , , , , , , , , , , , , p6ﾓ , , , , p 6ﾓ , ( ) : p 6ﾓ , p 6ﾓ , NP 6ﾓ , [1]

177 p 6ﾓ , p 6ﾓ I = {1,..., n} J = {1,..., m}, c i i , i ﾊ I c ij , i , j , i ﾊI, j ﾊJ p , , z 1 7 i x ij, i ﾊI, j ﾊJ z i = 1, i z i = , i ﾊ I , x ij = 1, i j x ij = , i ﾊI, j ﾊJ z = ( z ), x= ( x ), i ﾊI, j ﾊJ. i : 0 F(, zx ) = cz+ cx min i i ij ij i ﾊI i ﾊI j ﾊJ ij (1) z = p, (2) 1 7 i ﾊI 1 7 i ﾊI i x = 1, j ﾊJ, (3) ij xij ﾜ zi, i ﾊI, j ﾊJ, (4) x, z ﾊ{0,1}, i ﾊI, j ﾊJ. (5) ij i 177

178 z, z = p (1)ｨC(5) , i ﾊI F 0ｷ3 ( z) = F( z, x( z)), x( z) 6ﾓ ｦｸ= { z : z = p,0 ﾜz ﾜ1, i ﾊI} i ﾊI i D (1) (0) ｦｸ =ｦｸ, F =+ ﾞ k, k ﾝ1 i z ( k ) ﾊｦｸ ( k ) , , ( k 1) F 6ﾓ1, ( k ) x( z ) ( k z ) ( k) 0ｷ3 ( k) ( k 1) F = min{ F( z ), F 6ﾓ1 } ( ): ( k) ( k) ( k) ｦﾃ1 z ｦﾃ n zn ﾜ ｦﾃ 0. (6) (6) ( k ) ( k + 1) ｦｸ 1 7, ｦｸ, ( ) , , (6) , D : ( k ) a) z (6), ( k b) (6) z 茖ﾊｦｸ ), ( ) ｷ3 ( ) k F z < F. i 178

179 13( k ) z , , L 6ﾓ , (6) D , a b : 0 ( k ) ( k) ( k) ( c 6ﾓ1 w ) z < F 6ﾓ1 u, i ij i j i ﾊI j ﾊJ j ﾊJ ( k) ( k) u j, wij, i I, j J ﾊ ﾊ 6ﾓ , , xij ﾊ{0,1}, i ﾊI, j ﾊJ xij ﾝ0, i ﾊI, j ﾊJ , ( k (6) ｦｸ ), p 6ﾓ , m= n ﾝ3, C = ( c ), i ﾊI, j ﾊJ : 1 7M M 1 7 M M 1 C M 1 M 1 = C M ﾝ =, M M M D p 6ﾓ ( p ﾝ 2 ) c 0 i = M, i ﾊI C = C D p 6ﾓ c 0 i = 1, i ﾊI p C = C C. n , , ij 179

180 , // ｨC , A // XIV : , ｨC , Ko1 7a1 7e A., a1 7o1 7a 1 7.A // ｨC , : , : , Krarup J., Pruzan P.M. The simple plant location problem: survay and synthesis // European J. Oper. Res Vol. 12. N 1. P. 36ｨC81. Martin R.K. Large scale linear and integer optimization: a unified approach. Kluwer Academic Publishers, , , ( ) , , : _ ﾓ = _ ﾓ

181 , , , , ( ) , , , , , , , , : ( ), ( ) ( ), ( ) ( ), , , ( ) , , , ( ), , , , , ,

182 , , ( ) , ( ), , ( ), , , , , , , , , , , , , , , ,

183 , , ( ) ( , , ), , ( , , ) ( ) , , , , ( ) , ( ) : , , , , , , , , , ( ) ( , , ); ( ) ｪ

184 ( ｪ ) , , , , , , ( ) ( ) , : , , , ( , , ) ( ) , , ( , ), ｪ , ( ) , , , ｪ : ｪ , , ( ) ; ｪ ; ｪ ; ｪ , , ( ); ｪ ( , , , ); 184

185 13 ｪ ; ｪ , , , ; ｪ , ; ｪ , , , , , , ; ｪ , , ; ｪ , , , ( ) ( , ) , ( )

186 ( ) ( ) , , : , , , , , , , , , , , ( ) , , , : , : : ,

187 , , , ( ) , , , ｪ , , , , ｪ , , ,

188 , , , , , , , , , , , , ｨC , , , , ( ) , , , , ( ) : , , , ｪ belarus.org/content/bem 188

189 , , , ( ) , , , , , , , ( ), , , , , , , , , , , , , , , , ｪ , , , :

190 , , , , , , , , , , , , , : , , , , , , , (Black, Scholes, 1973; Merton, 1973) , , ,

191 , , , ( ｨC ): dr t = ｦﾂ ( ｦﾁ 6ﾓ1 rt ) dt + ｦﾒ dw t, ｪ , w(t) ｪ , (1 7ｨCr) , , : dr = 0ﾍ1 ( b 6ﾓ1 r ) dt + ｦﾒ dw t t t 1t d ｦﾒ t = ｦﾃ ( k 6ﾓ1 ｦﾒ t ) dt + ｦﾅ t dw 2 t, w w 2 ｪ , 0ﾍ1, b, k, ｦﾃ ｪ (euribor) ( ) arch 1 7 garch , , ,

192 , ( ) ｪ , , , , , ( , , , , ), , , ( , ) , , , ( , ｪ ) , : , ( ,

193 ) ( , , , ｪ , , , ｪ ), ( , ), ( , , , ) ( , ), ( , ), , ( ｪ , , ) , ( , ), ; ｪ ( ｪ ) , , TR (t), , TC(t) t , ( ) , , , , , ( , , ),

194 ｪ , ( MR = MC 03) 1 : 1 7 = TR ｨC TC 1 7 max,1 7M1 7 = MR ｨC MC = 0, : 1 7(t) = TR(t) ｨC 1 7 TC(t) = L(TR, TC, t) = C(Q, q, v) ｨC 1 7 ( F(X) ｨC Const ), C(Q, q, v) ｪ , ( ｪ ｨC , L, K 03, Q ｪ / , q ｪ , v ｪ ), 1 7 ｪ , , , ( ), ( F(X) ｨC Const) ｪ , , , F(X) ｪ TR(t) 1 7 TC(t), , TR(t) t q , : TR (t) = C(Q, q, v) = k *[v / Q], k ｪ max[mr (t)], 1 7 v 1 7 Q ｪ q MC=MR : : :

195 131 7v t i i TC(t) = F(X) ｨC Const = F(X) ｨC X * i, 1 7t i i , v 1 7 t ｪ i i , i , , , 1 7, ｪ , v (1 7) i 1 7 t (1 7 i ). X ｪ X , , ( ) ( MR = MC ) ( ) , , , , , ｪ , , : : , : , ( ) 195

196 , : (Managerial Economics). 1 7.: , , , : , : 1999ｨC , , , , , , , : , , , : , ( ) ( ) , , (interest rate channel) , (transmission mechanism) ｪ , ｪ ,

197 , , , , , , , , (bank-lending channel) , , , , , , , : , , , : , , , , , 1 7, ,

198 , , , , : ｦ LOAN _ S = ｦﾇ + ｦﾁｦ LOAN _ S + ｦﾂｦ RATE + ｦﾃｦ RATE 66 X + ｦﾋX + ｦﾅ it i it, 6ﾓ11 t t it, 6ﾓ11 it, 6ﾓ11 it (1) , LOANit LOAN _ Sit =, ASSETit RATE t t, X i, t 6ﾓ , CAPi, t 6ﾓ1, LIQi, t 6ﾓ ｦ ln ASSETi, t 6ﾓ (1) (GMM) , Arellano and Bond (1991) (1) , ｦ RATE t :

199 : , , ｦ RATEt 66 LIQit, 6ﾓ , , , : , , top , , % ( ) , , , , , , , , , , , , , , , :

200 Arellano M., Bond S. Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations // The Review of Economic Studies Vol. 58. N 2. P. 277ｨC297. Bernanke B., Gertler M. Inside the Black Box: The Credit Channel of Monetary Policy Transmission // The Journal of Economic Perspectives Vol. 9. N 4. P. 27ｨC48. Bernanke B., Blinder A. Credit, Money, and Aggregate Demand // The American Economic Review Vol. 78. N 2. P. 435ｨC439. Golodniuk I. Evidence on the bank-lending channel in Ukraine // Research in International Business and Finance Vol. 20. N 2. P. 180ｨC199. Kashyap A., Stein J. Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance // The American Economic Review Vol. 83. N 1. P. 78ｨC , , ｪ , , , : y it Transp = ｦﾁ + x ｦﾂ + ｦﾅ, it it ｦﾁ ｪ , it ( ): ｦﾁ it = ｦﾁ it 200

201 , , , , r i, it =r i +u it ( u ｪ ). it ｪ , , , , ( ) ( ) , , : , , , ｪ : = VRP, = UNEM : UNEM it = ｦﾁ it + ｦﾂit 66VRPit + ｦﾅ (1), it ｦﾂ ｪ it , ｦﾁ ｪ , it ｦﾅ ｪ it ｨC Dependent Variable: UNEM Variable Coefficient Std. Error t-statistic Prob. C VRP 6.56E EｨC

202 13R-squared Mean dependent var Adjusted R-squared S.E. of regression Prob(F-statistic) F-statistic Dependent Variable: UNEM Variable Coefficient Std. Error t-statistic Prob. C VRP ｨC7.87EｨC E-06 ｨC R-squared Mean dependent var Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic) Dependent Variable: UNEM Variable Coefficient Std. Error t-statistic Prob. C VRP ｨC2.86EｨC EｨC06 ｨC R-squared Mean dependent var Adjusted R-squared S.E. of regression Correlated Random Effects ｪ Hausman Test F-statistic Prob(F-statistic) Eviews R F ｷ3 FE 6ﾓ1 R pool nt 6ﾓ1 n 6ﾓ1 d 2 F = 66, R ｪ pool 16ﾓ1 RFE n 6ﾓ , 1 7 R ｪ FE , 1 7=10, n=80, d= F0ｷ3 =57,4>F , , , , , , , ,

203 ( R 2 = 0, 88 ) , : 0ｷ3 0ｷ3 0ｷ3 6ﾓ11 H = ( ｦﾂ )' ( 0ｷ3 0ｷ3 FE 6ﾓ1 ｦﾂ RE ｦｵ ｦﾂ FE 6ﾓ1 ｦﾂ RE ), ｦｵ 0ｷ3 6ﾓ11 ｪ ( 0ｷ3 ｦﾂ FE 6ﾓ1 0ｷ3 ｦﾂ ), RE ｦﾖ (pｨc ) Correlated Random Effects - Hausman Test Test cross-section random effects Test Summary Chi-Sq. St. Chi-Sq. d.f. Prob. Cross-section random Cross-section random effects test comparisons: Variable Fixed Random Var(Diff.) Prob. VRP : UNEM it = 6ﾓ10, VRP it + ｦﾁ i + ｦﾅ (2) it , , , : 0ｷ3 ｦﾁ i = UNEM i + 0, VRP i (3), T T 1 UNEM i = 1 7UNEM it, 1 UNEM i = 1 7UNEM it T t= 1 T t= ,

204 CROSSID Effect CROSSID Effect ｨC ｨC ｨC ｨC ｨC ｨC ｨC (2) (3) : ,23 % , , , , , , , , , : , , , ,

205 , , , : : , , : : , // , ｨC188. Duncan A. Cross-section and panel data econometrics, School of Economics P. 3ｨC , // ｨC

206 : , ( , ), , , , [1] , , , , ｪ , , , , ( , ) , , , , ｪ , [2, c. 167ｨC185] , , ( ) , t , , , ｪ [3] , A1, A2,... A n, , A1 ﾈA2 ﾈ... ﾈ An =ｦｸ, Ai ﾉ Aj =6ﾒ1, i ﾙ j

207 p = PA ( ), n 1 7 i= 1 p = i I : ( ) OI ( , B03, C 1 7 D , pi > pj, pl = pk ) ( ) II, [ ai, b i ], 0 ﾜ ai ﾜbi ﾜ 1, i = 1, n, p i, i = 1, n , I = OI ﾈ II, p i, i = 1, n , [4] P ( I ) PI ( ) p = ( p1,... p n ), PI ( ) p1 7( I) = ( p1 71 ( I),..., p1 7 ( I)) p1 7 i ( I), i = 1, n ( i ) p ( I) = Ep1 7 ( I) i ｦﾒ ( I ) = Dp1 7 ( I), [4]. i i , , A1, A2,... A n , , , , , , , , x x i n i i 207

208 [ a, d ] ( ) [ a, b],( b, c],( c, d ], A 1, A 2, A x : 1 7 p1 1 7, a ﾜ x ﾜ b b 6ﾓ1 a p2 f ( x) = 1 7, b < x ﾜ c, (1) 1 7c 6ﾓ1 b 1 7 p3 1 7, c < x ﾜ d 1 7d 6ﾓ1 c p1, p2, p 3 ｪ A1, A2, A , pi ﾝ 0; i = 1,2,3; p1 + p2 + p3 = x1 7 : a + b b + c c + d Ex = p1 + p2 + p3. (2) x1 7, Dx1 7 = Ex1 7 6ﾓ1( Ex1 7 ) : Dx1 7 = [ p1 ( b + ab+ a ) + p2 ( c + bc+ b ) + p3 ( d + cd + c )] 3. a+ b b+ c c+ d 2 6ﾓ1 [ p1 + p2 + p3 ] [1] , , // ｨC68. [2] : , [3] // (117) ｨC182. [4] Hovanov, N. et al. Multicriteria estimation of probabilities on basis of expert ｭ // European Journal of Operational Research

209 , (1). N Bp = 1 7 ( H i ﾁ Ei ); i= 1 (1) Ei 6ﾛ3 { ei1, ei 2,..., eik }, B p ｪ , H i ｪ i , N ｪ ( ), E i ｪ i , e ij ｪ j i , k ｪ e ij E i ( ) , , , , (2,3), : C K = a ; B (2) a C p = K ﾁ B p, (3) C a ｪ , B a ｪ , K ｪ , B p ｪ , C p ｪ K C p =f(b,d,v); B ﾊ D; B 6ﾛ3 B p, (4) 209

210 D ｪ , V ｪ / , B ｪ B p a , , , C a B a K ﾊ K,..., K,..., K { min(1) i max( Z) } K i Z Cp=f(B,D,V) (2) 1 7 (3) K ( , C a,b a,k=k a ) b, K {C`2,C a,c 3,C p,c e } Delta K z 1 7 K 210

211 , C max B max(z) C e, (2) 1 7 (3) Delta , , {K min,k`2,k a,k 3,K p,k z }. 1 7, , b , a 1 7 b , D 1 7 V, , , , , K a 1 7 B a (B`2,C`2) 1 7 (B 2,3,C 3 ) , Z<Z max , B 2, , (1) B p , B 2, C , ( ) , B p = B`2, C` K, C , K ｪ K` (4) , ( ) v i t: C p =f(b,d,v,t)+v i (t). (5) [0 ｪ B min ] C p ( ) [0 ｪ ], , , B min (5) 1 7 (1): C p =f(b,d,v)+v i (t) ｪ B min ; N B p = 1 7 ( H i ﾁ Ei ) 6ﾓ1 Bmin, i= , t , e ij (j E i ) e ij t =e ij (t), i

212 H i H i t = H i (t) , C p B p : C p =f(b,d,v,t). (6) B p (t 1 ) B p (t 2 ) ( , ) p (t 1 ) p (t 2 ) ( ) K(t 1 ) K(t 2 ) D 1 7 V ( ), Cp=f(B,D,V,t) , ,

213 , , , ( ) , , , , ｪ , , (CAPM), CAPM, : E(Ri ) = Rf + [E(RM ) 6ﾓ1 Rf ]1 7iM, i = 1,..., N, E(R i ) ｪ , R f ｪ , E(R M ) ｪ , 1 7 im ｪ , CAPM, im Fama E.F. Efficient Capital Markets: A Review of Theory and Empirical Work // Journal of Finance Vol. 25. P. 383ｨC

214 , , , CAPM , CAPM , , , , , , , CAPM , , , , : 2 E(R it ) 6ﾓ1 R ft = 1 7 im [E(R Mt ) 6ﾓ1 R ft ] is E(SMB t ) ih E(HML t ) SMB i ｪ , , ME, HML i ｪ , , BE/ME, R it -R ft R M -R ft, SMB t 1 7 HML t , , , ME 1 7 BE/ME, , , BE/ME, GRS , , , (1996), , , , , CAPM R f , Ibbotson and Associates NYSE, AMEX, NASDAQ, Fama E.F., French K.R. Multifactor Explanations of Asset Pricing Anomalies // Journal of Finance Vol. 51. N 1. P. 55ｨC

215 CRSP SMB 1 7 HML , ME 1 7 BE/ME CAPM , C/P, p , 1 7 p2 ｪ CAPM C/P c CAPM Three-factor model p1 p2 p1 p2 b 1,16 1,11 b 0,97 0,96 R^2 0,80 0,66 s 0,84 1,10 P(GRS) 0,000 h 0,01 0,52 R^2 0,95 0,95 P(GRS) 0, C/P , , CAPM R GRS , , , , CAPM , , , : E(Rit ) 6ﾓ1 Rft = 1 7iM [E(RMt) 6ﾓ1 Rft ] + 1 7is E(SMBt) + 1 7ih E(HMLt) + 1 7ip E(PR1YRt), SMBi ｪ , HMLi ｪ Jegadeesh N., Titman S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency // Journal of Finance Vol. 48. N 1. P. 65ｨC91. 4 Carhart M.M. On Persistence in Mutual Funds Performance // Journal of Finance Vol. 57. N 1. P. 57ｨC

216 BE/ME, PR1YRt ｪ , (one year momentum) , , , , , c C MKTRF SMB HML PR1YR R^2 p1 0,23 1,03 0,92 0,40 ｨC0,56 0,95 t ,43 79,79 46,52 20,60 ｨC36,73 p2 0,24 1,10 0,92 0,16 0,52 0,93 t ,77 87,61 47,49 8,48 34, C MKTRF SMB HML R^2 p1 ｨC0,39 1,15 0,96 0,65 0,89 t ｨC3,95 59,33 31,40 23,29 p2 0,81 0,99 0,88 ｨC0,07 0,85 t ,71 54,36 30,47 ｨC2, p1 ｪ , 1 7 p2 ｪ , : , , ( R 2 ) , , , one year momentum , , ,

217 13(CCAPM), , CCAPM : 6ﾓ1ｦﾃ 1 7 ' 1 7U( c ) t + 1 i E (1 ) 1 ' ( ) t ｦﾂ ｦﾄ + Rt = U ct t ｪ , 1 7 ｪ , (intertemporal rate of substitution), ｪ ( 1 7>0) GMM (Generalized Method of Moments), , , Eviews , CCAPM , , Fama E.F. Efficient Capital Markets: A Review of Theory and Empirical Work // Journal of Finance Vol. 25. P. 383ｨC417. Fama E.F., French K.R. Multifactor Explanations of Asset Pricing Anomalies // Journal of Finance Vol. 51. N 1. P. 55ｨC84. Jegadeesh N., Titman S. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency // Journal of Finance Vol. 48. N 1. P. 65ｨC91. Carhart M.M. On Persistence in Mutual Funds Performance// Journal of Finance Vol. 57. N 1. P. 57ｨC82. Breeden D.T. An Intertemporal Asset Pricing Model with stochastic consumption and investment opportunities // Journal of Financial Economics Vol. 7. N 3. P. 265ｨC Breeden D.T. An Intertemporal Asset Pricing Model with stochastic consumption and investment opportunities // Journal of Financial Economics Vol. 7. N 3. P. 265ｨC

218 IPO , ( ) ( ) , , (1 7 14, ,5 %) ( ( , , )) , , , , , , , , , , ,8 1692,7 2671,5 2858, , , % 16 14,9 15,5 15,3 14,8 14,5 16, ( ) ( IPO (initial public offering) , , , , ( 218

219 , , , IPO, , , , , , , , , , , IIIｨCIV , , , IPO/SPO , , , , , , , , , , , IPO , , IPO % , : // , ( 219

220 ( ) , %, IPO (15ｨC18 % 5 ) ( ) IPO , , % 3, ( ) $8,77ｨC10,79 $10,56 $11,35 7,48 $11, $4,35ｨC5,65 $5,4 $5,6 3,7 $5, IPO PIONEERS 3. Featuring Russian, Ukrainian and Kazakh Companies. An analysis and review of 33 IPO in 2007 ( IPO , IPO , , ( ), , , : y = f ( x, x,..., x ), 1 2 n y ｪ ( ), ( ); / , , // McKinsey IPO // ｨC

221 13x i ｪ ( ) IPO , , , , , IPO , IPO IPO ( ) ( , ), ( ), ( %) ( % IPO) (80 %), ( % ) ( ), ROA ( %), ROE ( %), (> 10 %), 1 72 (>15 %)1 73 (>50 %) ( ｨC15 %) , , (15ｨC20 %) 221

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223 A A B C B C D B C B C D D D A A XVIII , ( , ｪ C), , ( B), , , ( ) ( ) , , A B C B C A C A B , , , ( , ,0, ｭ,0), , A : A>B (9:8), A>C (10:7) s 2 ﾝ s1 ﾝ s0, s2 > s B: 8s 2 + 6s1 + 3s0 > 6s2 + 7s1 + 4s A B B C B C A A C A C B

224 13 ｪ ( ) , n p. ｪ ( , ) , , ( ). ｪ ( A B, B ) ( ) D (A<B<C<D), A , ( ) , , A 1 7 C (A>B, C>D), A (A>C) , D>A B A C A D B D C A C B D D D C C A A D D C C A A B B B B ｪ ( ) ( ) , ( ) ( , ) ( ) ( ) A 1 7 B, A>B (11:6) , A ( ), A C A (9:8) A C B B A C B A B A C A B A C B C B A C C B A C ｪ ( A, , , ) , ( ), A, B>A. 224

225 A , B: B>A (7:6), B>C (9:4) C A B A B B C A B A A B C C C ｪ ( ) , , ( ) , A B, A: S(A)=6(B,C), S(B)=4(D), S(C)=3(B), S(D)=5(A) B: S(A)=6(C), S(B)=8(D), S(C)=7(D), S(D)=5(A) A A D B C D D B C A C B C A B B C A D D ｪ ( , ) , , , , (1 7), (1 7), (1 7), (1 7), (1 7), (2), (1 7), (1 7), (1 7), (1 7), (1 7) (1 7) ｨC ｨC ｨC ｨC + + ｨC ｨC ｨC ｨC + 225

226 ｨC ｨC ｨC ｨC ｨC ｨC + ｨC ｨC ｨC ｨC ｨC ｨC ｨC ｨC ｨC ｨC ｨC ｨC + ｨC ｨC + ｨC ｨC ｨC ｨC ｨC ｨC ｨC ｨC + ｨC ｨC ｨC ｨC ｨC ｨC + ｨC ｨC ｨC ｨC ｨC ｨC ｨC + ｨC ｨC ｨC N={1,2, ｭ,n} ｪ , A={a,b,c, ｭ} ｪ , P(A) ｪ A, R(A) ｪ A P(A) n R(A), n , A >2, ｪ ? , , , , , , p A B C(1), ｭ,C(k) : C(1)=A, C(k)=B; d(c(i),c(i+1)) > d(c(i+1),c(i)), i=1, ｭ,k; p=min d(c(i),c(i+1)), d(x,y) ｪ , X Y A B , p(a,b)=0, A B A, , p(a,b) 1 7 p(b,a) B , , , , i ,

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228 Visual Basic for Applications (VBA) , , , , , , , , , , , , , , , Visual Basic For Applications (VBA), ｪ , , , , ( ), ( ), , F , t ,

229 , Excel Microsoft Excel : , , , , t , y = ｨC 21, ,544 * x 1 + 0,287 * x 2 + 0,072 * x 3, y = ｨC 11, ,545 * x , , , ,

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231 t ; d t ｪ t ; C t ｪ t , , , [1] , : ht + pt 6ﾓ1 p t + 1 ﾝ ﾜt ﾜ n : s t ｪ t ; y t = 1, t , 1 7 y t = , [1]: n 1 7 n 1 7 min h s + qt yt, (1) t t t= 0 t= 1 l 1 7 sk 6ﾓ1 1 + d jl y j ﾝ d kl, 1 ﾜ k ﾜ l ﾜ n (2) j= k n +1 + s ﾊ R, y ﾊ { 0, 1} n, l 1 7 n y ﾊ Z, (3) d kl = d i. (4) i= k t = 1, n C [1]: n 1 7 n 1 7 min h s + qt yt, (5) t t t= 0 t= 1 l 1 7 sk 6ﾓ1 1 + C yu ﾝ d kl, 1 ﾜ k ﾜ l ﾜ n (6) u= k n +1 + n y ﾊ Z. (7) s ﾊ R, y ﾊ { 0, 1} n, MOSEL ( Xpress-MP) (1)ｨC(4) 1 7 (5)ｨC(7) , (1)ｨC(4) , , t,

232 [1]: n 1 7 n 1 7 min h s + qt yt, (8) s t t t= 0 t= 1 k k k k 6ﾓ1 = C 1 7 f t ｦﾄ ｦﾓ + Cｦﾌ 1, k [ 1, n ] t ﾊ k, n t 1 7 y ﾝ [ ] 1 7 u u= k, t ﾊ {} 0 ﾈ[ k, n] ｦﾓ ﾊ{} 0 ﾈ[ k n] 1 7d kt 1 7 6ﾓ1 f 1 7 C k ｦﾓ ﾊ, (9) 1 7 k k 1 7ｦﾄｦﾓ 6ﾓ1 ｦﾌ 1 7 k 1 7ｦﾄ t = 1, k [ 1,n] k k ﾝ 0 ｦﾄ t ﾝ, t ﾊ {} 0 ﾈ [ k, n], k [ 1,n] ﾊ [ 0, ] n, t ﾊ {} 0 ﾈ [ k, n], k [ 1,n] ｦﾌ, 0, k ﾊ [ 1,n], t [ k, n] ﾊ, (10) ﾊ, (11) ﾊ, (12) y 1 ﾊ, (13) k k d kｦﾓ 1 7d kｦﾓ f 0 = 0, [ k, n] = { k,..., n} 1 7 fｦﾓ = 6ﾓ1 C (14) 1 7 C (5)ｨC(7) (8)ｨC(12) (8)ｨC(12) Pochet Y., Wolsey L.A. Production by Mixed Integer Programming // Springer , ,

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239 ｪ ｪ : , ｪ , , , ｪ , : ; ( ); , , , , , ( ｪ %) , [1] Barro R.J. Democracy and Growth // National Bureau of Economic Research [2] Barro R.J. Democracy, Technology and Growth // National Bureau of Economic Research [3] , , // C. 13ｨC ( FreedomHouse ( 239

240 : , , ｪ , , , , ｪ ｪ , 00 ｭ , , , , , , , , ｪ , , ｪ , ｪ , , , , ( ) ( ), , ! , , , [ ] : [ 240

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245 13HIGH BID 6ﾓ1LOW ASK ｪ PS = % ; WAPRICE 1 n i ｪ ｦﾁ = 1 7 PS ; n i = 1 ｪ ｦﾂ = max PSi ; i ｪ : ｦﾄ = 66100% , ｦﾃ = 66100% ( ) , : , , , , , , , , ( , , ) , , , : ,

246 : ; ; k Statistica : ｪ ( K , K ); ｪ ( K, K ) : Z = 1.111K K 6ﾓ K K (1) ｦｫ= 0.41 p = 0.005, C 0ｷ3 =6ﾓ Z ﾝ6ﾓ (1.5ｨC ) Z <6ﾓ (1.5ｨC ), ｨC : c1 6ﾓ1ｦﾋt c 1 1 6ﾓ1ｦﾋt c 1 n 6ﾓ1ｦﾋt c n n 6ﾓ1ｦﾋtn V0 = e + (1 6ﾓ1 e ) R [ e + (1 6ﾓ1 e ) R] e T1 T1 Tn Tn (1 + r) (1 + r) (1 + r) (1 + r) (2) 0 ( ｦﾋt) 6ﾓ1ｦﾋt 6ﾓ1ｦﾋt S() t = p( k = 0) = e = e ｪ ( ! ), F() t = 1 6ﾓ1 S() t = 16ﾓ1 e 6ﾓ1ｦﾋt ｪ , ｦﾋ = const ｪ , R ｪ , R =, n6ﾓ11 6ﾓ1ｦﾋ1 7ti i = 1 246

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248 : % ( ) ; / / Jorge Sobehart, Sean Keenan, Roger Stein. Validation methodologies for default risk models// Credit: Moody ｯs Investors Service. May ｪ ( ) , , , ( ) , , ｪ ( , ). ｪ , ｪ , /

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252 : , ｨC130. Johnson G.E. Changes in Earnings Inequality: The Role of Demand Shifts // Journal of Economic Perspectives N 11. P. 41ｨC54. Kaasa A. Factors Of Income Inequality And Their Influence Mechanisms: A Theoretical Overview // Tartu University Press P. 5ｨC30. Perry G., Olearraga M. Trade Liberalisation, Inequality and Poverty in LAC // The World Bank. June P. 3ｨC25. World Economic and Social Survey International Migration. NY UN, P